You use your sweater yarn to knit in the liners. Most patterns have you bind off stitches on one row, and then add the liner on the next.
The bound off stitches are the edge of the pocket that will be on the outside, and as you work across the next row, you'll work the sweater stitches, knit across the liner stitches and finish the row. Now the sweater will continue up from there.
Later on, you'll sew in the rest of the lining and probably add an edge to the pocket opening.