It's my understanding that in a balun the pair of wires (bifilar) should have a characteristic impedance that equals the output impedance of the transformer. In books by Jerry Sevick and others, great pains are taken to design or create the pairs with the proper characteristic impedance. Quite often a pair of magnet wires isn't quite right so a layer of electrical tape (special high voltage in some applications) is added - sometimes thin plastic tubing works as well. I do not know what twisting does to the characteristic impedance. In all cases, Sevick's designs show wires layed flat, side by side, taped together - not twisted.