Congratulations on your engagement!
I think therapy will be good and of course you reassure him. Has he ever spent time with your fiancee alone? Maybe there's a special activity the two of them can do on their own that will help them bond. Swimming lessons, art class, or even just something in the home like cooking a meal once a week together. I'd also suggest that you and he start or continue an activity with just the two of you and make it a visible plan for him. On the calendar, choose 2 days a month or once a week or whatever it is where it's dad & son time. This might help him realize he's not losing you and will still have special time with you.
I think it's important too that you and your wife to be stay strong and not allow him to triangulate you. Make it clear to your son that you are not getting rid of her just because he throws tantrums etc. He can't be allowed to control that aspect, and that's why a therapist is a good idea too. To help you all support each other.