In theory, you could pony (verb: to lead from the saddle) two horses at once. With docile horses, that wouldn't be too difficult, provided that the terrain was mild.

But, a destrier was not a docile animal, and was likely a stallion, which meant he would be aggressive, even toward other horses.

If you could afford a destrier, you could afford a squire or dedicated handler to pony your destrier for you. Doing it all on your own would be a stupid risk with a large investment, like your expensive warhorse.

Now, this is more of a generalization than a hard rule. I'm sure SOME knights ponied their own destriers, and they certainly would if something bad happened (like, the death of a squire or something to that effect). But, by and large, a knight would have somebody handling the destrier for him until he actually mounted the animal.