Heat shrink is certainly cheap, but not convenient to disconnect as required. Twisting together pure copper conductor wire is not a good enough mechanical connection if solder is not used. Pure copper is very soft, so it will loosen itself with temperature variations over time. This is why copper speaker binding posts must be alloyed to add tensile strength. Household copper wire is also alloyed for stiffness so it pushes back on connector screws so they don't come undone as the copper flows away through heat cycles. But the alloy metals reduce the copper purity and affect the SQ of the conductor. Also, heat shrink will not prevent moisture from entering the twisted wire contact to cause corrosion which definitely affects sound quality.
A cheap speaker binding post made of steel or brass can be used just as a clamp, not as a signal conductor, to hold two signal wires together. The spring tension of the brass or steel will maintain good clamping pressure over long period of time. When it's time to clean the conductors if they turn dark from corrosion just cut the ends off and strip new "connector."
You can also put a drop of olive oil or coconut oil on the twisted wire joint after you clamp it. This prevents corrosion and also prevents micro arcing. Oil is twice as dielectric as air and these two oils do not oxidize and dry like seed oil.
Those connector tubes that GR Research sells do sound very good and are the lowest cost speaker connectors made of pure copper, but they cost more than cheapo speaker posts