As you say, same room is probably the most common, but it has some pros and cons. We've done both (with separate meaning adjoining rooms), and don't really have a strong preference. What we are up for depends on the situation and the people involved.
If you are the type that a big part of the turn-on is seeing your partner with someone else, then the choice is obvious. When it comes to trying to head off the jealousy issue, then it's not so clear. Some feel more jealousy when they can't see what is going on with their mate, while others are more comfortable with an out of sight, out of mind approach that allows them to focus on just themselves and their playmate for the best experience.
One bit of advice we learned from personal experience would be that if both couples are newbies, then a same room scenario can get overwhelming pretty quickly for some. If one or both of the other couple go into sensory overload and can't focus on their playmate for wanting to keep up with what their partner is doing, then it is probably going to be a less than satisfying night for some.
A few private moments alone with a potential playmate as kind of a final compatibility check, whether its a dance or two, sharing a drink at a different table, or whatever, isn't a bad idea. But, before it gets to that point, we first want some time with both couples together. Both of us have veto power, and need to have a good feeling about the person the other of us might be playing with. Doesn't need to take hours, but we do want to have a feel for them, even if it's based on just a relatively short time, and to develop that together.
It's not a rule that it has to be a turn on. It is for some more than others, and for some probably not at all. What you have to be comfortable with is not that you will be able to take visually being right there "watching her get laid" but rather that you are ok with the knowledge that she is going to get laid by someone other than you. At the end of the night, that is what you are going to have to deal with, whether you actually saw it happen or not.