Shouldn't have to press both keys... If you press the HEADSET key to start with, it should pick up the ringing DN or in-calls (just like if you picked up the handset).
Or, you can program the "On hook default path" to headset rather than handsfree, and when you hit a DN or in-calls, it will use the headset rather than speakerphone. (That's a setting for the 3904, but I think it's on the i2004 as well. Under Options on the phone.) Be aware that this affects anything that would normally go to the speakerphone as well, such as automatic answerback on Intercom or Voice Call.