Implies a very close and possibly overly dependent relationship between people. The twins are always together; they really live in each other's pockets.
Pro Tip 2/3
Potential Negativity
May suggest lack of independence or clinginess in a relationship. It's not healthy that they live in each other's pockets; they need some time apart.
Pro Tip 3/3
Colloquial Usage
Used informally, more often in casual conversation than in formal writing. They're roommates and best friends, so they're always in each other's pockets.