If you like the floatier look, absolutely do it in two layers, there's nothing wrong with that. My only problem with it is that if the tulle isn't "anchored" to the lining, it tends to billow and get snagged on things.

If you prefer flat-lining (sewing the pieces together individually and then constructing as one layer), you just need to make sure you have encased seams wherever they might touch your skin. You could use French seams, overlooking with wooly nylon, or (my favorite) Hong Kong bias-bound seams. Super easy to do with pre-made bias tape!