I have 3 sets of doubles:
AL80 doubles (like 'em, but they're tricky because they're positively bouyant when mostly empty)
Steel LP95 doubles (love 'em)
HP120 doubles (diving them for the first time tomorrow)
Making a set of doubles:
You want to get an "isolating manifold". That's a manifold that has a valve in the middle that you can turn off, which separates the tanks (making them act like independents instead of twins). Also, it should have DIN valves, the knobs should be rubber, and the manifold should use "barrel o-rings". The Halcyon manifold is popular, and very well designed.
You also need a set of bands; the metal components that you use to connect the two tanks together, and that hold the bolts you use to secure it to your rig.
On eBay, or from friends, or with a good deal with a local store, the two together should not cost more than $400.
You can set these up yourself. Here's a link with good instructions:
http://www.diveriteexpress.com/library/doubles.shtml
You need two regulators. They should be DIN regs, not yoke. In addition, you need two secondaries; one for each primary. A good mid-range reg from any of the top manufacturers (Scubapro, Apex, Zealge, AquaLung) will do. No need to get super fancy right out of the chute. If you want to rig "DIR" style, you'll also need a submersible pressure gauge (SPG) and the right hoses.
Figure spending about $300-$400 per reg.
You will need a rig to mount it all on. I use a backplate & wing system, set up in the "hogarthian" style with a continuous peice of 2 inch nylon webbing. This rig is the cheapest option for doubles, and it is very configurable. Some people use a "tech rig" like the OMS Transpac system. There are downsides; but that's another topic altogether.
You should be able to get a good rig for less than $500, including all the hardware (buckles, d-rings, etc.)
Here's the good news: Once you've got the regs, and the rig, you can use them on as many sets of doubles as you may acquire; you only need to buy that stuff once. If you're handy with an allen wrench and don't mind working on your regs, you can easily configure a reg for single tank use (and vice versa), and there are fairly inexpensive adapters that will let you use the rig with a single tank too. Depending on the reg you already have, it may be suitable for this setup, meaning you only need to buy one additional reg.
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Ok, enough about the "how", now here's my answer for the "why":
1) Bottom time. Like you, I have a pretty high air consumption rate. While there's not a lot of deep diving to do here locally, we do occasionally get down to 100fsw, and there are a couple of places we could go deeper. With a single AL80 tank, with proper gas management, my bottom time at those depths is about 10 minutes. Even shallower, when using EAN32, my bottom time by gas is much less than my bottom time by NDL. Doubles frees me from this limitation and lets me dive pretty much as long as I want to.
2) Safety. Manifolded doubles, configured "DIR" style, are redundant, and very safe. Once you get some basic instruction on how to do a "valve drill", you'll have the necessary tools to use the rig to its maximum redundancy. I could deal with a catastrophic failure underwater, up to and including having a cylinder physically fail, and still be able to use half my gas supply to make a safe, controlled exit. I also do most of my diving with people diving singles. In the event that THEY had a catastrophic problem underwater, I would have enough gas to donate, and make a safe, controlled ascent. I'm like a big gas reservoir available to the whole team in the event of a disaster.
3) Advanced diving preparation. I intend to move into staged decompression diving after mastering basic skills. The classes I intend to take require the use of manifolded doubles. Getting that experience now, as I'm budiling fundamental skills, will help me make the transition to more challenging training without also having to deal with a big gear configuration change too.
Overall, I found strapping on the doubles to be fun, easy, and other than that initial feeling of OH MY GOD THEY'RE HEAVY the first time you stand up, relatively painless.
Good luck!
Ryan