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We present a new numerical algorithm to solve the recently derived equations of two-moment cosmic ray hydrodynamics (CRHD). The algorithm is implemented as a module in the moving mesh Arepo code. Therein, the anisotropic transport of cosmic rays (CRs) along magnetic field lines is discretised using a path-conservative finite volume method on the unstructured time-dependent Voronoi mesh of Arepo. The interaction of CRs and gyroresonant Alfvén waves is described by short-timescale source terms in the CRHD equations. We employ a custom-made semi-implicit adaptive time stepping source term integrator to accurately integrate this interaction on the small light-crossing time of the anisotropic transport step. Both the transport and the source term integration step are separated from the evolution of the magneto-hydrodynamical equations using an operator split approach. The new algorithm is tested with a variety of test problems, including shock tubes, a perpendicular magnetised discontinuity, the hydrodynamic response to a CR overpressure, CR acceleration of a warm cloud, and a CR blast wave, which demonstrate that the coupling between CR and magneto-hydrodynamics is robust and accurate. We demonstrate the numerical convergence of the presented scheme using new linear and non-linear analytic solutions.