I NEDD ADVICE: TONIGHT

Okay so I have to Bestfriends ( a guy and a girl .) And they are Chloe & Jay. Chloe likes Jay...but is slowly getting over him. I guess.
She's at the point where she doesn't wanna be with him and is not sure of their feelings towards him. Jay just came over to my house and we spent the whole afternoon together. He ended the night by telling me that he likes me , and wants to persue a relationship. 
I'm not gonna lie, we ended up kissing , and he did finger me. He also wanted to have sex but I said no. ( yeah I know that was bad on my part! Clearly I'm a terrible best friend - Chloe has done nothing but been there for me just like I have for her and this is how I repay her? ) but I'm starting to like Jay...and I just don't know how to tell Chloe. 
The last thing I want to do is keep this from her, because honesty is everything to me. I just don't know how to tell her. 
I feel like I made a huge mistake, but at the same time...I know that Jay is actually the kid of person I nedd right now because he's helped me through dark times and knows me almost as well as Chloe does.
FML
I NEED ADVICE.
Because I'm a teenager that clearly isn't taking the best path, but I'm trying to find my way back to it. 
HOW DO I TELL CHOLE ? 
And 
SHOULD I REALLY PERSUE A RELATIONSHIP WITH JAY?