So if you are learning Japanese and your friends are learning English and you want both parties to benefit from doing stuff in their L2.

Could there be anything else besides watching Movies with audio in one language and subtitles in the other?

Chat while switching between both languages, even mid-sentence (aka code switching).
It's a linguistic faux-pas, but everyone fluent in multiple languages does it.

Alternatively, just have everyone speak whichever language they aren't native in. Speaking practice (backed up by study) is probably more important than live listening in early level conversation.

There is a book called "You teach me English, I'll teach you Japanese." Which is bilingual and attempts to put a bunch of lessons for 2 people to work through with example sentences and conversations. It worked good for me as quite the beginner but then I left it in a bar or taxi or something.

I feel like an idiot chatting to a person in Japanese and getting a response back in English. It ruins all the fun of the conversation, it's like an arm wrestle.