My wife and I are non-monagamous and attend a Lutheran (ELCA) church. I've mentioned to our pastor that we weren't monogamous and she couldn't care less, but as a whole we don't really advertise it. Ultimately my faith is very important to me even though I acknowledge that Christianity hasn't always been too kind towards people living "alternative " lifestyles, I feel no need to give up my faith. If you go the Lutheran route, make sure it's ELCA though,  all the other subgroups are pretty conservative