From http://www.boost.org/doc/libs/1_54_0/libs/spirit/doc/html/spirit/lex/quick_reference/lexer.html
\X
If X is a, b, e, n, r, f, t, v then the ANSI-C interpretation of \x. Otherwise a literal X (used to escape operators such as *)
So you would use
("\\|\\|", OR_OR)
The first backslash in each pair is treated as an escape character by the C++ string parser, causing the second one to be placed into the string content. That backslash in the string content then is seen by Spirit::Lex and acts to escape the regex operator.