For closed types I like to get all the strands into the connector, and twisting (where possible) each wire seems a good way of doing it neatly. I'm not so keen on twisting all the wires together as that tends to shorten but fatten the length inserted.
To my mind the brass screw in threaded U style rose junction box that we have in the UK don't favour twisting; the cables compact down better without twisting allowing the grub screw to engage further.
Storm in a wirenut?
Gideon.
[This message has been edited by gideonr (edited 02-28-2005).]