Are you sure you can't afford to leave? Have you actually consulted a divorce lawyer to see what your financial position would be like?
You might be entitled to enough in alimony and temporary support to keep you afloat. And this is so incredibly disrespectful, WHY would you put up with it any longer?
I'd sit him right down and say: "Look, I happen to know FOR SURE that you are still talking to OW. I'm no longer willing to be disrespected in this way. I've packed a bag and you need to leave tonight."
He's apparently NEVER going to get it until he has to LIVE with the CONSEQUENCES of his actiona.