One way to improve this is to create the destination document yourself with DocumentInfo.Create(), lock it with Lock(), and pass in the DocumentInfo to CopyPagesTo. This way the document lock is only released once at the end of the operation when you call Unlock(). Sample:

using (DocumentInfo target = new DocumentInfo(session))
{
    target.Create(Folder.GetFolderInfo(@"\TESTCOPY", session), "mytest", session);
    target.Lock(LockType.Exclusive);
    sourceDoc1.CopyPagesTo(sourceDoc1.AllPages, target, target.PageCount + 1);
    sourceDoc2.CopyPagesTo(sourceDoc2.AllPages, target, target.PageCount + 1);
    target.Unlock();
}