Update: Twitter has announced that they're discontinuing support for RSS feeds. For the moment Twitter feeds will continue to work in FeedDemon, but at some point they'll simply stop working. For this reason, it's recommended that you not subscribe to Twitter feeds.
FeedDemon includes a number of enhancements which improve your Twitter feeds. If you're not sure how to find these feeds, simply login to Twitter and look for the orange RSS icon at the bottom right of any page.
There are separate feeds available for your tweets, you and your friends tweets, and the tweets of any single person you follow. Just browse around Twitter to locate the one you want to subscribe to, then copy and paste the URL into FeedDemon.
Note that some Twitter feeds are password-protected, so FeedDemon may ask for your Twitter login before you can subscribe to these feeds.