I think you'd have to be careful with something like this to not create an infinite loop of MIDI data.
Theoretically, you could connect MIDI out from board A to MIDI in of board B and vice versa, so two cables involved. I think the key would be the boards' ability to only sound off based on input from specific channels.
I've known keyboardists who would use one keyboard to trigger both the board they're playing and an additional device at the same time (piano on one, strings on the other for example), but I've never seen someone do that from two boards.
You should check out some synth sites - people there will almost certainly have a better idea.
Again I think the key is making sure both boards don't send out MIDI data after they receive it from one. So if you are playing board A and sending data to board B, you don't want that data coming back to board A, because if board A responds to it, I would think bad things will happen with looping.