You are required to specify a callback URL when registering your application with Twitter. However this can be any URL, as its value is overwritten by the ForwardingURL in the InitializeOAuth Choreo.
Run the InitializeOAuth Choreo, specifying the Consumer Key and Consumer Secret from the app you registered at Twitter. The InitializeOAuth Choreo will return an authorization URL, a callback ID and OAuth token secret (required for the FinalizeOAuth step).
Open a new web browser, navigate to the authorization URL returned by the InitializeOAuth Choreo, and click "allow" to grant the app access to your Twitter account.
Run the FinalizeOAuth Choreo, specifying the callback ID and OAuth token secret returned earlier by the InitializeOAuth Choreo, to obtain an OAuth access token and access token secret that can be used to access the Twitter API.