2 strands of yarn together

When the pattern says afghan is worked holding 2 strands of yarn together, does this really mean that you are really holding 2 yarns? Won’t that make it really thick and hard to knit with?

Yes, you use 2 strands. It will make the afghan thick, but since you’re probably using larger needles, it will be cushy, too. A faster knit, as well, which is a bonus.