Google has trended towards devaluing links between domains with "Administrative Relationships." It's a good bet that they can figure out you own both domains.
That said, it's only a devaluation. The links still count - just not as much. Think of it more like internal anchor text from your own site. Like Nakul said, since it's only one domain, you're not going to suffer a "link-wheel" scheme penalty or anything similar. It's natural and normal for sister sites to link to one another - even groups of sister sites. But the links likely won't help as much as external links form outside sites.