Maybe try holding them one at a time. That way, no one fights to the bottom of the cozy. I have found that, especially when they were younger, holding both pigs at a time sometimes led to them fighting or being restless and less likely to sit nicely.
Do stick with it- when we first got one of our pigs, Sundae, she was extremely timid and fearful (we didn't even see her venture out of the pigloo with the lights on for the first week or two.) I remember thinking she was always going to be cautious. She is now almost 4 and an unbelievably fearless guinea pig- she is always the one standing on her hind feet and squeaking for treats, she licks our hands and fingers when we hold her, and she chatters away to us constantly when we hold her. It takes time, but the time invested really does pay off, and once they are comfortable with you, they really are sweet little companions.