Tell us more about what you are doing? Are you working with with the 3 strands held together? Or what? What kind of knitting are you doing, as Michaele said, is it intarsia or what?
Recently I was crocheting with some cotton Knit/Cro Sheen with a metallic tread in it (don't know if that was part of the problem). I was working it right off the ball and right from the git go it was kinking and looping back on itself terribly. I was working with 2 strands of it, one from each of two balls, but even alone it wanted to do this. My husband figured out a Rube Goldburg device that helped a lot, but didn't entirely solve it. Is this the kind of "twisting" you are up against, or is it just the yarns getting tangled around each other as you change colors?