Short answer: they don't.

That's amazing! I love pregnancy. It's so... mysterious. So much can happen, and it's so much more interesting than blipping into existence fully formed. Each day, hour, minute, something wonderful or weird or new is happening. The body's ability to reuse and recycle unneeded material is astounding, too. Not much goes to waste. And at the end there's a new little person, brand new in the world, with nine months of experiences under her belt. Ah!

In answer to your question, here's how the Institute LeJeune (founded by the man who discovered Trisomy 21 -- the cause of Down's Syndrome) answers the question of how life begins at conception in the case of chimeras:

A chimera arises probably at foundation: An egg, split in two cells inside one zona pellucida (probably by non-expulsion of a too big polar body) is fertilized by two different sperms. Hence, the same individual (due to the plastic bag of the zona pellucida) is carrying two different genetic make-up. But they start the life together at the three cell stages: Hence the result can only be one person. There is no theological contradiction in the fact that "a person can have two natures".

and

"Hermaphrodite formation, on the contrary occurs at conception (9) (10). A female pronucleus is fertilized by one spermatozoa while the second polar body (of the same ovum) is fertilized by another giving rise to one human being contained in one zona pellucida. Other chromosomal anomalies secondary to anomalies at conception are known but since they occur at the moment of conception they cannot be raised as objections to conception being the beginning of a human being. The fertilization of one ovum and of its polaire body (part of that one ovum) by two spermatozoas and when the process occurs within one zona pellucida, can by the nature of the process only give rise to one human being. It is therefore completely distinct from the notion of fusion of two human beings with annihilation of one of them.

"The case described by de la Chapelle et al (11) is totally conform to such a process (in this case fertilization of a female pronucleus and of its first polar body could explain the biological observations). No case of spontaneous fusion of two embryos into one individual has ever been demonstrated in man."

for the full paper including footnotes 9,10, and 11, see

http://www.fondationlejeune.org/Content/Chercher/Documentation/article.asp?filename=fjl431.xml

Thanks!

Whether or not it is something humans cause (and whether or not it's a BAD thing (I think it's interesting, not bad)), the question I have for people like Not One to Question is this: If you believe that life begins at conception and that if you unite a human sperm and human egg and that fertilized egg now has a soul, does a person born when two of these eggs combine actually have TWO souls? If not, where did the other soul go? If so, what does that mean?