Along with the ability to create individual conductors in the E3.series library, you can also create a group of conductors defined as a cable. In this cable, the conductors can having varying wire sizes, have shields around them, be twisted together, and any number of colors. The conductors can be saved in the database as one part number. The part number can be pulled out of the database and used in its entirety in a project.
This video explains the steps for creating a multi conductor, twisted pairs, and shielded cable.