Ok, so after confirming the speaker wire and connections of that Klipsch set you linked, I can honestly say YES, cat5 speaker wire will make a difference for you.
http://www.canuckaudiomart.com/forum...highlight=cat5 - This thread talks about braiding/twisting cat5/6 for building speaker wire.
http://www.diyaudio.com/forums/showt...632&highlight= - Can you actually hear a difference between speaker wires? This thread discusses it.. at length.
I would say you should do this: start by breaking in the speakers before doing any testing. This will ensure even results.. as speakers break in, they begin to sound better.
Once broken in (15-20 hours of playback at medium levels), pick a reference song/album and listen to it a few times with the stock wires. Next, switch to a single twisted pair for the speakers. Listen to the same material a few times, and then switch to a strand of cat5/6 for each channel, and repeat. Lastly, braid up a set of cables, and try that.
You should hear a difference at every change; experience says that the left/right speakers will get a bass boost from the single twisted pair, but better clarity from a strand, and best imaging from the braided set.
You certainly dont need to go as extreme as I did, or as far as THIS GUY to get noticeable results, so just try it all, and see what works best for you.
There really is no magic formula for getting the best sound from your system, it's all about trial and error until you nail it.