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The main thing to remember is to make the two characters distinctly different. If they seem like the same person, the audience will be confused and taken out of the story. You could give a performance that is technically good, but it will still leave something to be desired. You need to latch onto little traits that set the characters apart, such as the way that they walk or the way that they interact with others. Take some time getting used to two sets of mannerisms so that you can change in and out of character in a hurry.
You should also use costumes that change your appearance. If these are good enough, the audience may not notice that you are playing both parts until they look at the program. This should always be your goal. You want them to be surprised and thrilled when they realize, at the end, that they did not see that you were on stage for each part. You can find mens wigs at AdventHair.com that will help.