You don't want to twist any of the signal wire or anything together. That's the last thing you should do. Wire twisted together not only form capacitor coupling. The current in one wire will generate a circular magnetic field around the wire, if you have another wire running along, you will induce current into the other wire. Of cause it is perfect to have everything perpendicular to each other, but that is not realistic. So keep them far away as possible. Having two wire perpendicular is the best, the magnetic field from one wire will not circle the other wire and no current can be induced from one wire to the other.
You twist the two heater wires together and tight to get more coupling between the two. This will minimize the 60Hz hum from radiating out towards the sensitive circuits. Tight coupling will reduce radiation. But you better know what you are doing before twisting anything together. Unless you know for sure the the other wire contain the return current of the first wire, twisting together any other wires is always bad news.
For cathode bypass cap, you need large value cap like 10uF or up, your choice is very limited other than electrolytic ones. I always want to challenge the convention believe, I even put tantalum cap for cathode bypass on mine and I like sound of my amp. Don't buy too much into those stuff, it need to be proven by a skeptical eye.