Yes, I think you should. It worked very well for me. But as Lost says, you have GOT to have proof. Iron-clad. Sit down with your in-laws, tell them that you love their daughter and that what you're about to tell them is very painful for you, but you felt they should know. Tell them that you do not want to divorce, but that you want to work at your marriage but you can't do it when there's a third person involved.
Some caveats:
1. As I said, you have to be CERTAIN of the affair.
2. ONLY do this if you think you can handle it -- there WILL be major blow-back. Your wife will be LIVID. (It goes away, but there will be damage that will have to be repaired).
3. ONLY consider doing this if it is to bring pressure to bear to end their affair, NOT if you're doing it out of "spite" or simply to "get even."
4. Know going in that they MAY not support you the way you would like. "Blood is thicker than water" applies here.
What evidence do you have that your wife is having an affair?