Gauge is unimportant because these wires aren't handling high current. Some claim that very thin wires are sonically superior; I'm not sure that's true, but at least thin wires are cheap! Wire-wrap wire is a nice choice- good quality conductors and Kynar insulation.
In my own amps, I tend to use either a shielded cable or a pair of twisted wires of moderate gauge (e.g., 24 AWG solid)- I don't notice any difference between these choices and use whatever is convenient and on-hand.
Teflon insulated cable is my favourite, mainly because it's so heat resistant rather that its dielectric performance (which is very good). You can solder straight to the shield without melting the insulation around the core, that's impossible with conventional cable.