Oh, it takes time, and often, lots of it. Many cats don't really love being picked up...all three of mine are that way. However, if I sit on the chair or couch, tap my lap, kitties come flying TO ME! Shelter kitties are often fairly traumatized by their life experiences, and will take extra patience and time in warming up to a new home environment. Do they have a variety of toys you can experiment with? Might I suggest getting the "Cat Dancer." That toy is an excellent ice-breaker! It's cheap, too...about $4.00. Give your new pair lots of individual attention, and respect them if they don't want to be picked up. Talk to them, offer treats, be soothing. Do they have a snuggly bed that they'll use? Sometimes an old box with a couple of cuddly blankets works the best.
Chances are, your pair is still in the process of wondering, "How the heck did I end up here?" They could be experiencing anxiety, some mild depression, some territorial issues, etc...all of which is normal in their situation. I wish I could give you a timeframe...it may takes weeks for them to begin to open up to you, or even months. Don't give up! With lots of patience, you'll win these two over, and they'll become wonderful friends to you.
Twizzler actually sounds like she could be playing. They can do some goofy things during their play sequences. And Roxi just doesn't sound like she enjoys being picked up too much.
Are both of them neutered/spayed? How old are they?