I'm considering doing this and had the same concerns. I talked to my therapist about it. She said it was completely okay. I'm sure your T will tell you whether or not they have a problem with it. Just be prepared to possibly have a reason as to why the second T is necessary, because he/she may ask. It is one thing to leave them because they aren't helping, but they may want to know why a second T is needed. My reason was wanting to seek a different delivery of therapy. I also really want to see a Psychologist, as my current therapist is a MMFT.
Is there a reason you don't want to just leave your current T and find a new one? Would you rather try two therapists at once? Personally I want to "test the waters" with a new person because I can't imagine trusting or liking anyone else. If I connect with them and I find them to be helping me, I am opening to leaving my current therapist.