It just had to be tried. So you knit with two balls of wool, one for each sock. Mine are front to front so I'm knitting the back of the outside sock and the front of the inside sock. I'm purling the outside sock and knitting the inside sock.
So far so good. It'll get interesting once it's time to start turning the heel!
I pulled the inside sock out a bit so hopefully you can see how it works. Purl one stitch from the outside sock, then knit one stitch from the inside sock, and so on. While you're working the inside sock is hidden so it just looks like you're working on one sock.
Now I've written it and thinking about it, I don't know why you couldn't knit both socks instead of purling one and knitting the other... wonder if it's just so it's easier to keep them apart. If you were knitting both, perhaps it would be easy to make a mistake and knit a stitch from the other sock when you're not supposed to and then your socks would be linked which you definitely don't want!
Anyway, I shall report back once I've tackled the heel!