240x4u,
I always had the screws exactly perpendicular to the arm tube. That was the way it was pictured in the instructions I had. I considered turning it a bit to alter the anti-skating, but decided that the extra half twist in the lines made more sense. Also, you're limited by the vertical holes in the paddle; if you got the square piece of the arm that the paddle screws to over those holes, it would probably make the paddle unstable.
Making the twist go in the correct direction is critical, as getting it backwards will apply anti-skating force in the wrong direction. When I first started messing with the arm I got it backwards, and it was immediately apparent. Just remember that the lines need to untwisting toward the outside of the record, and everything becomes pretty clear. This means with the normal setup, if you're facing the front of the turntable, the outside line goes to the top hole of the arm hangar (the hole farthest away from you) and the inside line goes to the bottom hole. In this situation the lines never touch. If you add the extra half twist to reduce the anti-skating, then the outside line will be in the bottom hole. The lines will be touching, and this is where it gets more critical, due to the friction of the lines, and the difficulty of seeing which way the twist goes when the lines are touching. That's how I got fooled when I got it wrong.
If you're still getting sibilance with the Shure M97, you might want to check the rest of your system. I've used an M97, and found it to have a very smooth and not very extended high end, so it wouldn't be very subject to causing sibilance. It could be your phono preamp getting overloaded (the Shure has pretty high output) or even farther downstream. Do your other sources produce sibilance?
David