To get started, Login into your account, go to Settings->Account and find an option which says 'Require a verification code when I sign in'. To enable it, you must add a phone number. There are several carriers to choose, so choose your operator.
After entering your number you will able to receive a verification code to your mobile device. It will not ask code, if your browser cache is enabled. Watch below video to start.
Enable it immediately for better security.
Note: This is not enabled in some countries. So, it may not work for some of them.
[Source: Twitter Blog]
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