Veined Octopus, Amphioctopus marginatus
I don't know about the two shell thing, but I've seen octopuses in single coconut shells before.
Here is the paper:
http://www.cell.com/current-biology/fulltext/S0960-9822%2809%2901914-9

The "tool use" argument hinges on the definition including items that are carried for use later on being tools. This is why the authors claim that hermit crabs aren't using tools.. because their shells always afford some protection. Of course, octopuses carry rocks to their dens and use them as doors... as do some crustaceans. It's a neat behaviour, but "tool use" comes off as kind of gimmicky.