Don't get me wrong, I am just not convinced it would be more effective then twisting horizontal high-current wires and mounting mag far where field is weaker.
There are however people who claim NU-metal helps "somehow", but I am sceptical and it could be different reason why it works for them. For example if you jam noisy magnetometer then for sure you get less noise but also less signal.
First attachment is the example how magnetic field propagates when wires are not twisted. If you twist your wires your field is "redirected" more flat, and gets redistributed in the direction twisted wires are going (see second picture of solenoid).
There are plenty of examples on internet. I also don't think twisting cancels magnetic field (maybe induced current). For example if you play with two magnets they either repel or attract to eachother but it does not cancel magnetic field. So the only thing you can do, is redirect that field to make it weaker in the direction which is hitting magnetometer and have magnetometer located 10-12cm above.
Hope that helps