When wiring up a two phase stepper, I would run individual cables to each phase. Each cable should be a twisted pair with a braid screen. The braids should be earthed at the driver end, and not connected at the motor end. It is a "belt and braces" approach, and there will be some who will say it really isn't needed.

Cable is cheap, problems are not.

I like that answer very much. It makes sense to me. It separates the phases and provides for two good ways (twisting and shielding) of eliminating a problem. I like it. Now I just need to decide about gauge and whether the tiny wires coming from my motors will cancel out any advantage of going with heavy wire.