I would also add that you should double check to make sure there are TWO seats available. If you are searching just for one seat on the respective websites, and only one seat is available, you might end up purchasing one ticket via DL, for example, and then go to purchase the second via AF to find that there is no more availability.

once you purchase both, call DL to link the reservations. This just involves notating the PNRs, but in case of IRROPS, agents should see you're traveling together.