To clarify a bit, make sure you start a Free For All Legend and Killer game and wait for a Gold Rush map. This isn't a team based game. You also need to be at least 3 players.
Now to do a double capture, it is pretty self explanatory : you have to grab two bags at once and bring them both to the target. Do this three times in a single game and achievement unlocked.
This is obviously easier done by boosting. Just keep in mind that you need to be at least 3 players, otherwise you'll end up with only one bag to spawn at a time. On the plus side, you can do it in private match, confirmed to work by TA gamers CrAzEdCaNuCk18 and Hamfam9598.