There are LOTS of ways to cast on for Double knitting..
for a neat rolled edge, use a provisional cast, (1/2 number)
work a few rows of stocking knit in Color A.
pick up stitches from cast on edge in color B.
hold the two needles together (in a fashion similar to 3 needle bind off) Knit 1 (A) Purl 1 (B) (repeat)
this gives a rolled/tubular edge in color A.
an other variation is to work long tail with 2 yarn, (A and B) and on row 1, split the yarns to Knit A, Purl B (2 stitches from 1)
but my favorite, is a 2 color/knit and purl long tail.
see it here
and this is hardly a complete list of cast on methods.. but is some ideas....
try each out and decide for your self which you like best!