I started off going to the couch in the living room - set up with ez-2 nurse cushion, remote for tv, water, snacks etc before I went to bed. But quite quickly I moved to feeding them lying down in bed - first one at a time, while dh cuddled the other, and then got the hang of double lying down feeding (had one on crook of my arm, and one lying basically on my tummy - got the tummy feeder latched on first, and then leaned over to other one and scooped them up and latched them on). It took a bit of time to get the hang, but was so worth it, was able to sleep and then they would roll over and sleep.
We coslept with them both fulltime from birth - we were used to cosleeping from dd1 - you need to ensure firm bed, no thick duvets, pillows away from babies, no drinking or smoking or drugs. Might also be more tricky with premies, ours were born at 37+5 and over 6lbs each. We also had a sidecar cot like kathryn2804, they didn't really get into it, but it gave us more space in the bed becasue one baby could be right be the edge of the bed or roll into the cot.
Loved the EZ2 nurse for daytime feeds and the early nighttime ones, it was briiliant for handsfree nursing once they were latched on.