Tried this myself with 32guage/0.2mm since I wanted more coil area at around 2 Ohms (for use on my passthrough modded Ego - won't run anything less than 2 Ohms) - I haven't yet had much luck winding coils directly onto SS mesh without shorts anyway, but my concern would be that the 'high spots' of the wire would make this even harder, offering a focal point for forces to break through the oxidised layer of the mesh causing shorts, but I see several of you in this thread have used the twist without this issue anyway. Myself I had a tube of fibreglass over the mesh wick so no bother in that regard LOL!
Also, if you're after a very particular resistance note that folding a lenght of given resistance wire into 2 the twisting it, doesn't tend to give you a piece of 1/2 the res. of the whole length - it tends to be somewhat less, and the tighter it's twisted, the less it will be due to the extra contact points along the length of the spirals - a 4 Ohm piece (taking into acct. the length needed for the terminals as well of course) well twisted gave me 1.8 Ohms and my Ego wouldn't run it so I had to make another. After dropping that one on the workshop *floor I was at coil 3 before I had a working atty LOL.
DV
*(my workshop floor is a partial black hole treasure trove of various dropped bits, and as a maker of silver jewellery also, a lot of it a bit precious - it takes so much in but rarely if ever gives any up - one day I expect to find a way to mine it though... )