Does it matter the wire gauge used in interconnects?

@ozzy  I should've explain better in my last paragraph, that gauge 18 would be even fine even for the speaker cable, while for ICs it doesn't make any difference.  Gauge of IC wire should be thick enough for easy handling.  That's perhaps why Acoustic Zen selected AWG 20.  Capacitance is directly proportional to dielectric constant.  Selecting Teflon (k=2) instead of PVC (k=4) lowers capacitance by factor of two.  Using oversized tubes reduces it even more.

@ozzy  AWG 20 sounds OK.  My Acoustic Zen Absolute ICs have gauge 20 wires.  I assume you're going to twist wires.  XLR are usually twisted.  Twisting exposes both wires evenly to external electric and magnetic fields reducing interference pickup (very effective).  Twisting reduces inductance (not important here) and increases capacitance.  Perhaps light twist?  Twisting is effective when twist pitch is way below wavelength of offending signals.  Let's assume 1" twist pitch is way below 0.3m wavelength of 1GHz signal.  At these frequencies shield works great (skin effect).  I would use insulation with low dielectric constant to lower capacitance between wires (Teflon?).  Perhaps oversized overall tube with low dielectric constant to reduce capacitance to shield?  (my ICs have foam Teflon insulation in oversized tubes).  

With thicker wires you risk skin effect, that starts at gauge 18 in copper at 20kHz, but speakers are usually inductive in character at these frequencies, meaning that impedance gets way higher reducing skin effect (If it is audible to start with).  Good luck and let us know.