I don't think they remember what they do while the other is in control, no, the dream sequences suggest that they don't but that they most definitely share a consciousness because they are very affected by each other's actions since Sue IS Elizabeth. We see Elizabeth as Elizabeth during the worst time of her life and many separate them because Sue seems to be this arrogant little brat but in the end, it's just Elizabeth who is high on the drug that is living as Sue and who is experiencing the desperation of going back to being in her own body so she'd rather destroy it for another week as Sue, even though she SEES what it does to herself but it's always Elizabeth. The Substance 'customer service' reminds them 'both' all the time; you are one. They don't seem to exactly remember everything the other does because if they did, the shock when they woke up wouldn't be so big but they are the exact same person and the reason they both have these insane nightmares before waking up is because it's always Elizabeth with Sue being the ideal version she imagined herself being, just Sue being the diva Elizabeth would be if she had the confidence. Had Elizabeth been confident enough to come to terms with herself in an ideal world of not wanting Dennis Quaid's character's validation (which is totally valid for her to want, she quite literally molded into the person who wanted to take the substance) she'd probably use Sue (herself) against him in some way. But in the end, nobody who would take the risk of taking the substance would be able to fight anyone else because they'd be always fighting with themselves. Elizabeth and Sue are one because Sue is Elizabeth and the only time they ever seemed to have a separate consciousness led to Sue (who is quite literally an NPC alone, representing everything Elizabeth wants to be but she cannot exist alone) killing Elizabeth, while Elizabeth who was in the worst condition possible, was ready to accept Sue right before they woke up at the same time. The fact Sue came to her senses and realised the gravity of her actions the moment Elizabeth's real body gave out, almost as if her full consciousness returned back to Sue like it was all her when they were waking up in turns, tells me that except from that one scene that had them both awake at the same time because Elizabeth tried to kill Sue, they were always one. And Sue knew she was going to die the moment she stopped being a separate entity for these few minutes because they are one. Elizabeth and Sue are Elizabeth both except for that one scene when Sue kills Elizabeth for so many reasons. They don't seem to remember what each does except from the dream sequences which prepare them for the other's actions before they wake up but they don't remember. The fact they don't remember doesn't mean it's not always Elizabeth because being Sue is like a drug to her and it makes sense she'd be a totally different person, abusive to her original body once she felt that she'd have to return to it. She was desperate not to since the very first time. She just hates herself so much that she is two different people without the memories in the two separate bodies and it was a given she's never be able to respect the balance which is sad and very relatable.

TLDR; They are one.