I double twist. Take each section of hair that going to be in the twist, and split it into section A and section B. Comb through both sections, and apply what ever twisting 'goo' you are using.
As you twist, twist each section, as well. So, to start, give A a 'spin', and then twist it around B. Then give B a 'spin' and twist it around A. The tighter the 'spin' on each section, the tighter/more stable it'll hold and it'll keep the roots nicer.
It also makes it easier to take your hair back down, because the two sections don't have as much of a chance to tangle with each other.