Brutha makes an excellent point. I took a few salsa lessons last year and one guy was REEEEAAAALLL comfortable with me LOL. I had to tell him we wouldn't be able to dance together if he didn't calm down...
Of course it's good to keep the feelings of the girl in mind as well but after a while you can mostly feel what closeness is okay for the girl because the girl normally tenses up when it's to close for her.
As long as you have problems with closeness yourself you however don't have to worry about that problem.