From the peanut gallery: hold the two ends at 90 degrees with the insulation of each almost touching at the X point. Twist the wires tightly trying to maintain the 90 degree split on the unwound portion. Once you (or a digit friendly assistant) have the entire length (no more than an inch needed) add a yellow or red wire nut. Cheap stuff, but the color corresponds to the size wire it will hold. Make sure you twist in a clockwise manner or the wire cap will untwist your pretty wind and risk a wire sliding our. The point of the 90 degree twist is that it will hold the wire very firmly even without a wire nut. If you hold the wires parallel and just twist the resulting weave is easily pulled apart. (give it a try!) The 90 degree twist is very secure and with the wire nut (or without) you wont have to worry about it getting pulled apart if abused by feet, furniture, or the drunk squirrel that is always lurking around here.
The shrink wrap is a great idea (and still cheap) and looks much better than any other option I know of. If you go that route, and twist lock as described, I would skip the wire nut to keep the look very clean. Unless the wire is completely hidden, then I'd save the time and just put the wire nut and wrap of tape. You can also get some silver solder if you really want to do it "right" but from what I have learned here, you will gain nothing.
