I assume that you just have joint bank accounts and the like hence the use of a single data set for both of you. What we tend to see here is people maintaining things independently and thus separately.
As Kevin said there is no right or wrong way of doing this, it is what works best in your situation. I would suggest setting up a test data set enter a few test transactions then test the reporting and see which approach works the best for you. Its just the trial and error approach but for things like this it is still often the best way to go.
Thanks for the suggestions. I've gone with using tags on relevant transactions. With clear marking as 'tax related' for categories I need. Individual versions of reports to pick each person's tags.
HOWEVER - Investments (e.g. share dividends) don't allow Tags. I can mark the category (i've had to keep duplicate categories here - 'Fred - Share Dividends' and 'Thelma - Share Dividends' both marked as tax related. However, if I am reporting on tags and on tax-related only, it won't show these as there are no tags!