Ok, so the full process would be something like:
1. On Device #1 (ie. PC), create a new wallet
2. Select "MultiSig Wallet"
3. Select "2 of 2"
4. Select "Create a new seed"
5. Copy this seed down (we'll call it "PCSeed") and re-enter to confirm you have it saved properly.
6. Copy down the "xpub" that it displays (we'll call it "PCxpub")
--- Move to 2nd device
7. On Device #2 (ie. Phone) create a "MultiSig Wallet"
8. Select "2 of 2"
9. Select "create a new seed"
10. Copy this seed down (we'll call it "PhoneSeed") and re-enter it to confirm you have it saved properly.
11. Copy down the "xpub" that it displays (we'll call it "Phonexpub")
12. Select "enter co-signer key"
13. Enter "PCxpub" from Step #6
14. Wait while your wallet+addresses are generated.
--- Back to 1st device
15. select "enter co-signer key"
16. Enter "Phonexpub" from Step #11
17. wait while your wallet+addresses are generated.
Now,
double check that the addresses generated on both devices are the same before you send any funds to the wallet! (check the address shown on "receive" tab on Phone matches first "receive" address listed on "addresses" tab on PC)
You should now be able to create a transaction on either the PC or the phone, that needs to be signed using the other device before it can be broadcast.
As for backups, don't worry about copying wallet files and backing up to USB... as long as you have the two seeds ("PCSeed" and "PhoneSeed") safely stored you'll be able to recreate your MultiSig wallet.