Oh yeah, I forgot all about this method. I've never done it (since I like magic loop much better than DPNs - my personal preference), but I've done a bit of double knitting.
This is actually an older method of doing 2-at-a-time, but that doesn't make it bad. Some of the old methods are the best!
I am a huge fan of the magic loop method - I commute on public transit and was forever dropping a DPN and having to ask some business person to put down their paper and pick up my needle for me. there are books by Melissa Morgan Oakes about two at a time on one circular - one for traditional and the other for toe up and they are super fun and easy to follow.
I haven't had a problem with the yarns getting twisted, but to keep which yarn is which straight I make two different pairs - i have yarn A as the front and yarn B as the back and then I knit up the sox and then do the same thing again and I have 2 pairs of sox.
good luck with it all and have fun!
That's where 2-at-a-time (using magic loop, 2 circulars or DPNs) is so great! Each time you do a round, you are doing it for both socks! So, if you make the foot 1 round longer or shorter than the pattern, at least the 2 socks match!
Note: Kerrie (above) doesn't have this advantage, since she is knitting 1 sock from 1 pair & 1 sock from another pair at the same time. Then she does it again, and has to make sure she makes the 2nd two the same as the first. She does this so that she can use 2 different colored yarns which makes it easier not to mix them up.