Double knitting is not for the faint of heart. Double knitting in the round is doubly so. Casting on and getting that first round can be very frustrating, but once done, the rest is much easier. I'm working on a pair of fingerless mitts, as the title says, and using some leftover Vanna's Choice in white. I made a pair of nice thick ankle socks out of them and decided to try the mitts next.
Doing socks, mitts, gloves, sleeves, whatever in this manner means you'll have both done when you're finished, however I wouldn't call it a shortcut or timesaver, just another way to get both at the same time. This method is best done in plain stockinette stitch, 1x1 rib, or any other rib, but nothing more complicated than that. If you want to do some kind of lacy sock, glove or sleeve and still want to do both at the same time I recommend Magic Loop or two circulars and do them side by side.
Another problem that presents itself is gauge. Your gauge will be looser, no matter what you do, so you'd have to experiment with needle sizes if you're doing sleeves. Also with gloves, mitts and socks if you're following a pattern. Plain socks you can just adjust the number of loops cast on. For instance-for my socks done one at a time I used 48 stitches. If I'd done the mitts one at a time that number would also be sufficient, but since I'm double knitting, I'm only using 40 stitches, the gauge is that loose.
For the directions on socks, visit Knitty. I do have a couple of more cheats that I used for the heels and toes-I simple separated them onto two different needles and did the short rows one at a time since I don't like wrapped short rows, I prefer YO short rows. Then, when I got ready to knit in the round again I simply knit them off both needles when I got to them and continued DKing. Same for the toes, just separate and finish them individually-less headaches, if you ask me.
So, that's my take on DKing to get a pair of socks, mitts or sleeves. It's not a shortcut, it's not for the timid knitter and it's fun to do just once in awhile just to wow non-knitters ;)