Be honest about what you’re doing with all parties concerned. If the person you’re currently dating isn’t comfortable with you seeing another person, make a choice—either break up with her and date the new person, or don’t date the new person—and abide by it. If you’re doing something you’re not willing to be honest about with both of them, you probably shouldn’t be doing it.
I also find it best to set expectations up front as conversation permits. I think both the women you are dating should know you are still keeping your options open. Who knows maybe they too are seeing other people.
You do not need to inform them of one another, this is considered to be stupid as unless you are dating a slut, you will lose both. However, you must “decide” between one or the other within a period of four weeks or until you have had sex in a bed and then slept there after, whichever comes first.