I cant really remember when my girls first said it.

sorry.
But I do remember asking them about other families siblings and asking if they were twins and they said yes. (so therefore thinking brothers and sisters were all called twins)
We had a big talk about twins growing the same time in mummy's tummy and being born on the same day and having the same birthday. It still fascinates them to hear me talk to them about their birth "who came out first mummy?"
Having Piper when they were 5 helped a lot "is there going to be two babies mum?" and also they have lots of little cousins who are all singletons.
I think it is a slow realization (well it was for us anyway) that other people have 1 baby at a time normally.
I think the saddest thing was Georgia saying she "hated being a twin and wished Kelsey wasn't here because then there would just be me"
Amanda
Georgia and Kelsey 26.3.99
Piper 1.7.04