To me it looks like they paired two instances of the model to feed off of each other's outputs with some sort of "contribute to reasoning out this problem" prompt. In the prior demos of 4o they did several similar demonstrations of that with audio.
To create the training data? Almost certainly something like that (likely more than two), but I think they then trained on the synthetic data created by this "conversation". There is no reason a model can't learn to do all of that, especially if you insert special tokens (like think, reflect etc that have already shown to be useful)