That is how we play. But technically I think you have to make the AoO the same way you made your attacks previously in the round. That is, if on your turn you used the Double Weapon in conjuction with Two-Weapon Fighting, that is how you would treat any AoOs.
I've also heard that, before the end of your turn, you can "declare" how you are holding/wielding the weapon. So you can attack using TWF then at the end say that you are holding the Double Weapon as a two-handed weapon.
Again, my group just finds it easier to allow the player to treat it however they want on an AoO (which is most often used as a two-handed weapon).