I don't think there's much of a problem with picking guys on the same team. However, in general, middle relief guys who pitch the 8th inning get more holds than middle relief guys who pitch the 7th (Justin Speier is the only exception off the top of my head). If you have two middle relief guys on the same team, chances are that only one of them is pitching the 8th.
Also, I see it written here, and I've seen it written before that holds guys come from teams that win A LOT. I'm sorry, but that's just not true. The league leader in holds thus far is Matt Capps. Tied for second is Manual Corpas (on last place Colorado), Brandon Lyon (on fourth place Arizona), Mike MacDougal (on fourth place Chicago), Hideki Okajima (ok, first), Jon Rauch (Washington, 'nuff said), Speier and Turnbow.
Getting a hold is all about first, manager trust, and second, good skill set, and third, right opportunity. I'd focus on the first and second part by zeroing in on the best quality relievers, regardless of the team they play on. They are the ones who are going to be asked to shut down the opposing team during a late, tight pre-9th inning game.