They don't have two heads, only one. Take a look at this image of one removed from it's tube. http://www.nhm.org/guana/bvi-invt/bvi-surv/images/worm-08/h0128.htm
The feathery whorls are attached to the head region which is normally hidden inside the tube. The whorls are branchial filaments (= gills) which are modified to capture food from the water as well as oxygen. All sabellid & serpulid polychaetes have these whorls. In some species the filaments form a simple circle made up of 2 half-circles while in other species each half circle looks like a separate piece (like in your picture) or forms spirals (like coco worms & christmas tree worms).
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