Well I never believe in the friends with benefits scenario because it always happens that one person falls in deeper than the other. It rarely works out where both are satisfied and can handle it. I think 3 weeks after being dumped is not the best idea to get wrapped up in someone new. Relationships that are based on rebound never really last. However, you can do a few things here...you can 1. talk to your friend and find out if he's got mutual feelings. See where his head is at and then you can perhaps take this relationship to the next level if you are emotionally prepared for that, 2. you can stop sleeping with him and just attempt to go back as friends. With that you may need some distance to get over your feelings, or 3. cut him out of your life completely so you can move on and find someone who will be emotionally available to you or just to be single for awhile and enjoy dating. It's up to you. Good luck.
Ugh, double ugh and triple ugh. It is so often the case that we meet someone that is a "friend" when there is some kind of attraction. It makes me wonder about your fiance and how this played into it. It makes me wonder how soon after your break up that you became sexually intimate with another man. Maybe I'm from the stone ages but jumping into bed with someone else right after an engagement and thinking that you are falling in love with them does not sound like the healthiest thing. I'm guessing that you have some emotions that are fooling you. Maybe you don't want to be alone. Maybe you had feelings of attraction to this new guy while engaged and the new friendship interfered on some level with your boyfriend. Maybe you're rebounding. All are likely.
I agree that friends with benefits doesn't usually have a happy ending because one party becomes overly involved and attached. And . . . when the other gets a love interest that matters to them------- typically the friend that once provided benefits gets put on the short list of people that are pushed away.
I think you need to clear your head. I would have told you that had you not just had a break off of an engagement three weeks ago to go ahead and talk to the new guy about your feelings and see where he is at. If he agrees that you are good together, then pursue it and if he says he wants it to stay as it is, then discontinue it as you're playing roulette with your heart. But . . . with the news of the broken engagement . . . you are already playing roulette.
You need some down time. good luck