Read up on "image currents". You always want currents to be paired, so that the net current flow outside of the cable is zero.
So, you might twist the leads of a transformer primary together, or the secondary. But not one from each, because the currents will in general be different.
Conversely, a common mode choke has the two windings twisted together (or wound in the same direction), because the currents will be equal and opposite (a CMC is specifically a 1:1 transformer).
Note that a transformer is a multi-winding inductor not intended to store energy (i.e., it transforms voltage and current, rather than storing inductive energy). (We still use terms like "flyback transformers" instead of "multi-winding inductors", by convention rather than by purpose.)
Anywhere the currents mostly cancel, is a likely candidate for a ferrite bead. This at least reduces the likelihood that the ferrite will be saturated due to current flow; but whether the ferrite will do anything at all (or improve things, even -- things can get worse, too) is quite another matter.

Tim