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I don't know detail about PIC but you can connect crystal only to one of them. And then connect XTAL inputs of different devices with each other. The only thing try to keep both devices not so far from each other otherwise the stray capacitance on XTAL input can suppress oscillation.
Maybe Fom's explanation is not clear enough, so I will try to reformulate it:
Use xtal to make osc for one PIC. Then connect it's CLKOUT pin with CLKIN pin of other PIC. Other PIC has to be configured to use external clock.
If you connect CLKOUT of first device to CLKIN of another device the clock phase will opposite. May be it is not very important, but better conect CLKINs of both devices. In this case both CLOCKs will be in phase.