I keep keys in separate locations for safety, but that makes adding all keys to a new account a big pain.
This hasn't been a big problem yet because there are so few services that support the keys, but I wonder how people would manage it if it became widespread.
What I'm going to do personally is only use U2F on my most secure services (email, 1Password itself, GitHub). 1Password with the TOTP stored inside of it should be good enough for the others.
For storing TOTP keys on your YubiKeys, those must be the same, so you probably have to add them at the same time, or take a picture of the QR-code before you complete the registration.
The challenge is remembering to enroll using your backup device. Also, ideally your 2 devices would never be in the same room as each other, otherwise you are at risk of something like a fire destroying both.
Ideally there would be a way to enroll the second device without possessing it, but I'm not sure that's technically possible.