I use a Y cable every once in a while. My speakers are usually fine for composing most of the time. If I'm composing with a piano, I use portable speakers in each prosounded gameboy. Surprisingly they can compete in volume with the piano if I'm going all out.
But also, since I'm more and more involved with integrating my other hardware with 2xlsdj, I have to use my mixer. Of course I'm also now programming other things so it's a must with all the MIDI I got going everywhere now.
Anyway, composing in 2xlsdj isn't that hard. Just get in the mindset that it's all one big lsdj .sav. I've gotten so used to the process, I walk around with one gameboy composing one half while knowing exactly what is/will be on the other gameboy.
One thing i do to prepare a song is, get an idea of the percussion rhythm and split it between both gameboys. For instance, I like to double up snares with a sampled one, so some typical songs end up like this:
Master:
wav: snare sample on 4 and C
noi: closed hat sequence and other percussionals
Slave:
wav: kick and more sampled percussion
noi: open hat and snare
This kind of gives me the rhythm even when i'm composing on one gameboy. Of course there's still other stuff going on like typical lsdj songs, I'm juggling bass in between them and cramming and stuff. But it helps to percieve hocketing.
Only other ideas to give out is to work with tuning. There's a lot more options for combining sounds too. A pulse 25% and 50% (an octave higher) lead sounds great. Especially if you detune one of them. Like I did in Aphelion, you can make them both play at the same time and have one do response. There's just a lot of new ways to get tiny things out of the program. Experimenting combing wav and pulse sounds, chorus echoes, harmonies, and chords, etc. these are things you've maybe done in 1xlsdj but now have some more freedom and space to do in 2x.
Hope something out of this helps in some way. 
