It's definitely normal to have an increase in appetite as you increase activity level. Eat when you're hungry... solid exercise and a good level of healthy food is a great combo.

As for not losing weight while exercising, that is very common. Have you been measuring? Often, especially at the start of an exercise program, you're more likely to lose inches than pounds. Not only may you be trading muscle for fat, but exercise causes muscle tissue to fill with water. This is for repairs, I believe. So that water retention in the muscles is probably what's registering on the scale, even if fat is being lost.

When I first started an intense exercise program (3 days lifting, 3 days cardio a week, not to mention some yoga and Pilates thrown in) I didn't lose any weight for probably about a month or so too. As a trade-off, though, I lost tons of inches and really needed new pants.

Keep at it! You're lucky to have a diet and exercise buddy to keep you motivated. Sounds like you guys are doing great. Don't get discouraged by the scale, it's only a very small measure of success.