It is a great idea to get married in the Catholic church. They take marriage very seriously (it is a sacrament). If you don't convert, you will still take classes (precana or engaged encounter, etc) with your fiancé. What happens is you go a retreat(s) and discuss how your marriage will work with your future wife: who will handle the money, what you think about children, and so on. If you can't agree on these things now, or at least speak honestly about them,, then you are looking at a world of hurt in the future. It's a great process and if you and your fiancé survive it, then you will feel very confident going forward.
If you are converting, you will take more classes(RCIA) and the process takes about a year. You will get all your "missing" sacraments on Easter. If you a planning on having kids, then I highly recommend converting.