Sure, hopefully I'll remember to do it.
The general idea is this, using the Upper arm as an example.
If you are using the biped skeleton, they are added with a simple option in the creation menu.
If you are making a custom rig, you make one bone like normal for the upper arm, and link another bone over it. Like one tube inside another. Set your constraints for the upper bone, closest one to the clavicle. Align it to the upper arm's pivot and axis, make it look in the same direction with a look at constraint, looking at the fore arm bone.
Add a rotation constraint to it, and set it's weight to follow 50% rotation for the upper arm and 50% rotation of the clavicle.
When you twist the upper arm bone, the twist bone will twist half as much. When you move the main upper arm bone, the twist bone will go with it.
Using the skin, weigh the lower part of the upper arm to the main upper arm bone, so it rotates more toward the elbow. Set the upper half of the upper arm to the upper arm twist bone.
When you twist the upper arm bone, the part closer to the fore arm will twist more and you won't get so much of a pinch at the shoulder.