How to tell therapist I had sex with another one of her clients??

I became friends with May (fake name) a little over a year ago by hitting on them and then finding out we have the same therapist. We also ended up in group therapy together for 6 months. We both went through breakups around the same time 4 months ago and today when we were hanging out we ended up having sex. How do I tell our therapist this?? This is such an awkward situation I put myself in.