SO2R can be done in any mode (I have also tried CW), but RTTY is for sure the easier mode to start playing with it. You can learn more about SO2R-TTY, by visiting one of the pioneer's site AA5AU http://www.rttycontesting.com/so2r.htm
Unlike DON who is using 2 networked PC's, my SO2R setup is using a single PC, a single soundcard (this has been made possible by the introduction of windows XP), and no additional hardware. N1MM allows 2 entry windows, 2 bandmaps and 2 RTTY engines to be used simultaneously. In CW the software also takes care of the headphone audio switching.
Of course each radio should be protected from the other radio interferences by bandpass filters and sufficient antenna separation. However even when this last point cannot be met (due to insufficient space), the experience shows that the bandpass filters may still provide enough protection for the technique to be used.
My N1MM RTTYscreen setup, with 2 bandmaps, the 2 MMTTY engines, and the 2 entry windows at the bottom
In my case, the band to band immunity has been recently improved by the installation of the SteppIR antenna which does not have resonant element on unused bands, so provides an additional attenuation against signals transmitted in other bands. Of course better are the receivers in terms of IMD, better are the synthesizers in terms of spectral purity, better is the performance of the station. The only problem really tricky is the 40m H2 falling in 20m RTTY segment (ie 7040/14080), other band combinations are less problematic, as the harmonics fall far enough from the interesting segment (ie 3590>7180>14360>28720). Use of coaxial stubs and harmonic suppressors (low-pass filters), at the PA output, may further reduce the interferences from a radio to the other. A few ham even report having used antennas mounted on the same rotator, or even on the same boom...
As you can see, my antenna separation is not fantastic (15m between the steppIR and the OB6-3M), but it works.
The last question is: does it really allow better contest performance... I think the answer can be found in contest results and RTTY-toplists for example at http://www.rtty-contest-scene.com/index1.html and at http://home.arcor.de/waldemar.kebsch/ . I am currently at second world place in both toplists (though they use different rules), of course it is also a matter of regularity, but it is a big satisfaction to compete with big-guns, only using a small-pistol station !.