Make sure you don't pull a bonehead move and Megger the wire at a voltage over what the insulation is rated for. With a 2500 volt Megger you can destroy things in a short manner.
On a multi-conductor cable I usually get some small soft drawn or a wire nut and tie all of the wires together except one, then measure from the single wire to the rest of the conductors. I continue rotating until I have checked all conductors, then I tie them all together and measure from them to ground (and shield if it has one). Make sure the other end is isolated, and that you are not going to ruin someone's day by lighting them up with the Megger.
The newer Meggers are a little safer, but be careful. You might want to make up a spreadsheet where you can record your readings in megohms for each cable.