They're going to twist around each other on the needles in the individual stitches, so don't worry about that. It won't look like it when you're done, especially if these are to be felted.
The loose yarn coming from the skein/ball will tangle and twist somewhat too, but you can minimize that by putting them in separate bags or bowls. If you're using just one skein, you can let the work dangle and untwist every once in a while if it drives you crazy. If you always turn your work the same direction at the end of every row, it's going to make the twist worse, so if you alternate the directions that can help.
sue- knitting heretic