You should buy heavier cookie sheets. The thin sheets from the grocery store will always twist when heated. There isn't much you can do about it except find a better cookie sheet. I have one of those thin baking sheets and only use it to toast breads, and make garlic bread. Look for better quality cookie sheets are Target or look at this commercial cookie sheet
we offer at Spice Place. We cook with the commercial baking sheet all of the time and it has never warped.