At the tournament over the weekend there was an interesting situation. On a par 3, two players hit into a greenside bunker. Their golf balls were literally one in front of the other, maybe 1/2" apart.
Since the ball in front would intefere with the ball in back, that player put a tee in, lifted her ball, went one club length over and put another tee in the sand as a marker. She then removed her first tee so the other player could hit her shot. I also was aware that the rules say you are entitled to the lie you had originally, so player #2 smoothed the sand after her shot so player #1 could put her ball back on the sand as it was originally.

I've seen people mark in bunkers in this situation so I think it sounds like a reasonable way to play it. Do they have to drop in the bunker or place the ball?

Place the ball. It's not a penalty shot, you are entitled to the same lie that you had on your original shot.

Interesting situation! I agree with Aimee, I would keep it similar, just remove it and let the other person go ahead. That way, you both get the position that you landed in.

Your ball has to be placed, as suggested by Aimee.
But keep in mind, that it must not be cleaned.
So avoid to act like on the putting green; don't put the ball into Your pocket, where it migt be cleaned from sand or soil.

Just pick it with two fingers and leave it a yard or so away from its original spot. Then replace Your ball carefully.

McFade