I don't use this capability at present, prefering instead to keep the SD card as a spare for when the other one fills up.
Any card pair should work, but there are two ways of implementing the backups:
method 1. Everything on one card is copied in-camera by the camera to the other card.
pros:
100% backup on separate media
master and backup files have the same format, so choice of format is wide open (RAW, RAW+JPG, JPG)
cons:
No in-camera spare media
In effect both cards will have the same capacity, so you are limited to a maximum of 2GB because that is presently the maximum supported SD card capacity.
The rest of your CF is wasted unless you decide to change operating mode once the smaller card is filled.
You may have to replace both cards simultaneously.
method 2. RAWs are saved by the camera to one card and JPGs are saved by the camera to the other.
pros:
100% backup of images
better use can be made of large CF cards by putting the smaller JPGs on the SD card and the larger RAWs on the CF.
cons:
no in-camera spare media
the master and backup files must have different formats (RAW and JPG)
only the mark II cameras support this mode at present.
You may have to replace both cards simultaneously.
General notes:
I personally do not like changing cards in the field if I can avoid it. I expect more failures and accidental data loss will happen by doing that than by actual card failure. I say this despite having a long history of failed computer hardware. I especially do not like handling SD cards because they seem to be far less robust than CF cards.
If you swap cards often enough then hopefully you have developed a system that minimises the risk of accidental data loss, but if you do it rarely then you can expect to make costly mistakes such as formatting the wrong card.