My AeroLED's just specified Tefzel wires. Some manufactures recommend shielded wire. I would install what is recommended by the manufacturer.
 
Any light kit you purchase should come with instructions.

AeroLEDs specify shielded Tefzel wire with the shield grounded at both ends. You can download the instructions from their website.

If you are installing the old style lights (not LED), non-shielded would be fine.
 
Should an LED strobe power wires be a twisted pare with the ground going all the way to the forest O tabs?
 
It depends on which LED strobes you are using.
Whelen LED strobes, and actually all Whelen LED lights which includes NAV, strobes, and landing lights, require no shielding and nothing to run back to ground for noise. As others have said, you should check with the wiring instructions for the specific lights your installing.
 
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