There are many Windows Phone users who say they do not need a 3rd party Twitter app due to the built-in functionality in the Windows Phone People Hub.
Without knowing this tip however they will not be able to share messages in private via Direct Messaging.
The trick is simply to place a D in front of the twitter name, which will convert the tweet to a direct message.
As can be seen from the screen shot above, it seems to work pretty well.
Tip via SteveLitchfield