Actually, while increasing the number of wires in parallel is equivalent to making the wire thicker (i.e., making the AWG number lower, which reduces resistance), it does not necessarily increase capacitance. Cable capacitance is a function of the wire geometry and is across the signal and ground wires. If you weave a bunch of wires together, some of which are signal and others are ground, the close proximity between the signal and ground conductors would cause an increase in capacitive coupling (with the insulation material being the dielectric). If you use lots of wires in parallel but keep the signal and ground wires separated, then there would be little increase in capacitance, if any. Increasing the thickness of the total wiring should also decrease inductance, which is in series with both directions of the cable. But again, the physical configuration of the cable may influence this greatly, and may even increase the net inductance.
All told, the best thing to do is to keep it simple -- for headphone wires, since there is no need for a shield, it doesn't need to be coaxial, so the best configuration is simply two bundles in parallel, one for the signal and the other for the ground return. Each bundle can just be a collection of thin stranded wires for best flexibility/compliance. Fancy weaving or other exotic configurations would only serve to impress the eyes, but may actually degrade performance due to complex impedance (capacitance and inductance) issues. In severe cases they could cause the headphone amp to become unstable.
