I have both too! I was diagnosed with RA at age 9 and with MS ~20 years later. My neurologist has 6 other patients with both and one with RA, MS and Crohn's. I hear it's not too uncommon to have more than one autoimmune disease.
The most important thing I learned from him, that my Rheumatologist wasn't aware of, is that TNF inhibitors aggravate MS. So, that means no Enbrel, Remicade, Humira, etc. I am currently taking Orencia, Copaxone, and Naproxen (and methotrexate when my RA gets out of control every few years.) Copaxone is working very well for me now, but it does take about 6 months to 1 year to start seeing the full effects. And the Copaxone bee/wasp sting feeling hasn't gone away for me, but it's better than being blind every few months from ON. Concerning ON and oral prednisone, I have read the same thing, however I've taken oral prednisone for all of my MS flares and I haven't had an incident of ON since I was diagnosed.
There is a great website called "Brass and Ivory: Life with MS and RA". www.brassandivory.org/