Tell her NOW!!!!!!!! 
you don't have to make a big deal out of it, ...do it matter of factly, ...don't even mention the fact that you saw your fiancée's friend if you can help it. Just let her know that you wished you had taken her up on the offer because you got freed up, and was able to go out afterall. Ended up having lunch with a co-worker, ...but you wished it had been her instead. Toss it away, ...and move on. kind of like when you first caught your little one playing with himself in public, ...you nipped it in the bud (the behaviour, ...not his little tallywacker), ..but didn't make a big deal out of it to traumatize the guy, or make him more curious about it.
Jaggy,
I took your advice, told her straight out as you advised. The loud mouth did what loud mouths do; she called my fiancee minutes after I spilled the beans.
My woman was totally understanding of the situation and was expecting the loud mouth to try and make the situation more than it was.
This was the scene, her friend called and did exactly what I thought she would do; mention that I was at lunch with
another woman. My girl is very keen and very mature about haters so she quickly said "yes I knew he was at lunch with a friend" (even though she did not know) what a gal! Ok this is not to say that she let it slide she simply told me she did'nt mind me having lunch with my female buddy but that i should have called and explained ahead of time this way she would be better prepared for the ensuing drama queen tattling.
Moral, just be upfront and honest all the time with your mate (I am fortunate I have a very mature one) and don't let the outsiders have the first say.
My baggage almost caused me problems.
I am sooooo blessed!
