I think the arrangement depends on a lot of factors.
Do you want to do some stuff with the other chick you never get to do with your girl? If so, maybe the separate rooms approach might be best, since your lady may not want to see you being quite so studly/nasty etc with someone else. And vice versa. Are you comfortable if your woman starts getting wilder than shit with the other guy?
Then there is just the whole sensory aspect of it. Does the idea of watching the sex, hearing it etc. turn you on? Then you want to be in the same room. But if the reason you're doing it is more to have the variety of the other babe, no need to be in the same room.
And the other couple may have expectations on this front - - they may expect to be in the same room with each other.
No protocol on this man. Just ask what they want and come to a consensus as to what everyone will be comfortable with. personally, I think there is nothing hotter than being in a room where people are deeply into the sex taking place and hearing the sounds of all that. Very primal. But that may not be for you.
Have fun!