It is the data pair that needs to be twisted together. No need to twist the power wires.
However, it is important to avoid loops in wiring as loops act like aerials for noise. For this reason the data pair and power wires need to be kept together in one cable.
I repeat what I have said before and others have said: use twisted pair cable!
For the power make sure there is at least a 0μ1 capacitor across each chip as physically close to the power pins as possible. If you are using ready made module then the capacitors will (should) be included.