The bodies of Mr Davies, 29, and Mr Baird, 26, were found inside surfboard bags at the fence line of a rural property in Bungonia near Goulburn, about 200km southwest of the city, on Tuesday.
NSW Police officer Beau Lamarre-Condon, 28, is in custody after being charged with killing the couple at Mr Baird's home in Paddington on February 19.
A Friday night vigil, organised with the permission of the couple's families, will be held in Darlinghurst.
"To the family and friends of Jesse and Luke, we are so sorry - our hearts are with you," Equality Australia said in a statement.
Police allege the murder of Mr Baird, a former Network 10 presenter who Lamarre-Condon briefly dated, was premeditated, while Mr Davies, a Qantas flight attendant, was in the wrong place at the wrong time.
