I just finished plying the Zanzibar. The whole "setting the twist" thing was sort of a puzzle, but the folks on the Fibernuts forum were kind enough to offer suggestions, all of which had something to do with dunking and soaking the plied yarn. Methods seem to be about as plentiful as spinners, but the general idea is this: You soak the yarn, whether it's plied or singles, in warm or hot water and soap, and then you rinse the soap out and hang the wet yarn up to dry. And, depending on what type of yarn you're aiming for, you can either hang it up with a weight of some kind to keep the yarn taut, or you can just let it hang without any weight. OR, if you're looking for something springy, you can either let it dry flat on a towel, or you can do something called "thwacking". I assume this means whacking the wet yarn against a stable surface, like the inside of your shower. One of the ladies who responded to my question said that the tradition in northern Norway involved the use of a stream, assuming you happen to have a convenient one nearby.
Since I haven't got a stream that's exactly easy to get to, I opted to take advantage of the washing machine by soaking the skein in warm, soapy water and letting it rinse and spin before I hung it up to dry. My neighbors probably think I'm nuts because I used a giant can of apricots and a pair of coat hangers to hang the yarn on the outside of the front door... not that I really care whether they notice. The total is something close to 475 yards, which is pretty good. It's definitely enough for a nice pair of fuzzy socks, or a nice fuzzy hat. Anyway.. here's a picture.