No, you don't need to do that, you just can.
If you let u= 2x, then, of course, dx= (1/2) du so your integral becomes
[tex]\frac{1}{2}\int sinh(u)cosh(u)du[/tex]
Then let v= sinh(u) so that dv= cosh(u)du and the integral becomes
[tex]\frac{1}{2}\int v dv= \frac{1}{4}v^2+ C= \frac{1}{4}sinh^2(u)+ C= \frac{1}{4}sinh^2(2x)+ C[/tex]
just as you have.
That's just using two consecutive substitutions rather than combining them as you did.
Of course, you could do it the other way two: let u= cosh(2x) so that du= 2sinh(x)dx and the integral becomes
[tex]\frac{1}{2}u^2du= \frac{1}{4}cosh^2(2x)+ D[/tex]
Because [itex]cosh^2(2x)= sinh^2(2x)+ 1[/itex] that is exactly the same thing with a difference constant.
I believe your wolframalpha reference gives the integral as
[tex]\frac{1}{8}cosh(4x)+ Constant[/tex]
which looks very different but is actually the same as your result.
Remember that
[tex]sinh(x)= \frac{e^x- e^{-x}}{2}[/tex]
Squaring that:
[tex]sinh^2(x)= \frac{(e^x)^2- 2e^xe^{-x}+ (e^{-x})^2}{4}= \frac{e^{2x}- 2+ e^{-2x}}{4}[/tex]
[tex]= \frac{1}{2}\frac{e^{2x}+ e^{-2x}}{2}- \frac{1}{2}= \frac{1}{2}cosh(2x)- \frac{1}{2}[/tex]
so that
[tex]\frac{1}{4}sinh^2(2x)= \frac{1}{8}cosh(4x)- \frac{1}{8}[/tex]
differing from the original form only by a constant.