BartK
There are many pieces that require it.
A few that come to mind - middle section of Rachmaninoff Op. 32, No. 5.
Chopin Barcarolle.
Last movement of Beethoven Op. 111.
You need to experiment and decide whether to "cheat" for some, any, or none of the occurrences.
"Cheating" is when you drop a note from the trill at the moment you're playing one of the melody notes. With some pedal and speed it's hard to notice.
For not-cheating, it's good to start by playing the trill slowly as measured notes (rather than as a super-fast spasm) and to practice playing the melody notes at the same time as the trill note..
You may find that in some situations, a slight rotation of the wrist when you play the melody note will help to distinguish it from the underlying trill. You can see that I'm doing a wrist rotation to play the notes above the trill at 1:50+ in this video
