They are also the 'ghosts' the Oracle explains while talking to Neo before the 'Burly Brawl'. In other words, their abilities as programs (becoming translucent and moving through objects) were still usable in exile.
The Twins are first seen with the Merovingian smoking a hookah in his restaurant in The Matrix Reloaded. They smirk at the fact that neither Trinity, Morpheus, nor Neo appear to have the same intellect as The Merovingian. The Twins rarely speak, but when they do it is with a slow paced English accent, and when one speaks to the other, they usually say "we", as opposed to "I".
Later, when Morpheus and crew free the Keymaker, the Merovingian sends the twins to kill the 'redpills' and recapture the keymaker. They catch up with Morpheus and Trinity in a parking garage and quickly demonstrate both their skill in hand-to-hand combat (using a straight razor) and their ability to become incorporeal. The latter power not only allows bullets to pass harmlessly through them, but also heals injuries they sustain while in corporeal form. Morpheus, Trinity, and the Keymaker flee in a car, but are pursued first by the twins, then by police and by agents.
Eventually, after a long chase through the freeway, and firing upon Morpheus and company with an HK UMP, the Twins are dispatched by Morpheus when he causes their vehicle to overturn and explode. They are most likely alive since they entered their incorporeal forms moments after the car exploded. They are not seen in The Matrix Revolutions.
In the Enter the Matrix video game, which chronicles the events leading up to The Matrix Reloaded, the twins are shown attempting to stop Niobe and Ghost from escaping the Merovingian's mansion via a car chase in the multi-leveled garage. In this incarnation of the characters they do not wear their trademark glasses. Their smoking, overturned vehicle can be briefly seen on an overpass at one point during the highway chase level.
In The Matrix Online, synthesised cheat codes based on those drunk by the Unlimit officer Beirn allowed the Merovingian to retrieve and reforge the fragmented and heavily dissipated RSIs of the Twins. His operatives were tasked with finding the partially reconstructed pieces, which were successfully secured and combined, returning the Twins to fully functional states.