Function in template.php to override Profile2
I have crossed checked the suggested way on my local and I can see it working.Here are some pointers.I copied the profile2.tpl.php present inside profile2 module and paste it inside site default theme templates folder and finally clear the caches.In order to see what profile is working I added some test content on both templates and found content from profile2.tpl.php from my theme is working.

As a side Note:You can make theming experience far more easy using Theme Developer module,


  Firebug for Drupal themeing.Note that this module injects markers into
  the DOM to do its magic. This may cause some themes to behave
  erratically and less capable browsers may make it worse (especially
  IE)/. Enable it when needed, and disable it afterwards.