Think about it: any current going 'up' one wire is going 'down' the other. It's always going in opposite directions. When you separate the wires - anywhere along their path - it leaves what looks like a loop of current, just like what's inside a transformer. That open loop transmits a magnetic field, the amplitude of which is proportional to both the current and the size of the loop (a.k.a. loop area.) Transformers have many more loops, and usually larger loops (unless you really screw up your heater wiring!
So, yeah, keep your heater wires separated from signal wires, but also try to keep them as close together as reasonable to minimize loop area. That's not easy to do at tube sockets where it's necessary to separate them, but be conscious of the loop. Makes me wonder why they put the heater pins so far apart on most tubes.