Something so simple that a lot (read me 😉 ) forget when you have more than one horse to exercise is riding and leading. General rules are to make sure the two horses are not mortal enemies and preferably of the same gender. Ride the larger of the two and lead the second horse in a bridle with the reins passed through the bit on the riders side. Personally I would never have the led horse in a head collar due to the lack of control it offers. I always have the led horse to my left even if not going on the roads. By being on the left when on the roads you can obviously keep best control of the led horse between the side of the road and the ridden horse.
I tend to make sure the ridden horse has over reach boots on the two feet on the side of the led horse in case the led horse gets too close. I also would normally have boots on both horses as well for the same reason.
Prior to going out for the first time if you have no choice but to ride on the roads I would ride round a school or even their turn out field if no school available to ensure you have control as often takes a short while for the horses to ‘agree’ as to boundaries! You need ideally to ride with one hand and have the reins of the led horse predominantly in the other although I hook my thumb of the other hand around the buckle as well.
Once both horses are happy you can exercise two horses in the time you would normally exercise one. There is no reason why both trot and canter work cannot be included given a suitable environment as well.
Riding and leading is especially useful in winter when you have limited light to ride if you don’t have a floodlit school. When cold it is sensible to use an exercise sheet kept in place with a surcingle on the led horse (whilst also having one on the ridden!) or even the specialise walker rugs you can buy are ideal in this situation.