Does it matter the wire gauge used in interconnects?

I am thinking of trying my hand on building some DIY interconnects. It will be balanced (XLR) and 10 feet long. I have seen interconnects made with thin 30 gauge wire, is there an advantage using super thin gauge wire?
I was thinking of using 20 gauge but is that too thick for interconnects?

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Back in 1990, when I had Stan Warren mod by Philips CD-80, he told me to just go to a jewelers store and get some thin, high quality silver wire and use an oversized sheath (I forget which terminations he reco'd). 

All the best,
You can build your 10 foot XLR ICs this wavy Ken. First, the double sounds best based on my testing and builds over the years. I have built some 400 sets of ICs over the past 4 years and taken the time to listen to all manner of conductors, gauge, shielding and geometry.

I highly suggest you build using the Helix Method as given in the link provided. I would use the Vampire pure copper XLR connectors. Use the VH Audio 18 gauge solid core Copper Airlok conductor on pins 2 and 3. Twist conductors 2&3 every 2 or so inches. The VH Audio wire costs $4 foot so that will cost you around $160. For the ground wire on pin 1 you use Take Five Audio 16 gauge stranded copper, silver plated, cryo’d wire. It costs some $1 per foot. Use a 4-1 ratio to the VH Audio conductors. So you will need a total of 80 feet. Your total cost will be around $300 - $350 if you make this standard, not double, Helix XLR IC. The cost is closer to $600 if you double up on the conductors and make a double helix. The double will sound the best, but not twice as good 🙂.

Another way to build a nice set of XLR ICs in a more conventional manner is this...,

Use the same VH Audio conductors, twisted pair on pins 2&3, and use a high quality tinned copper braid shield tube as the pin 1 conductor. The VH Audio twisted pair runs inside the 1/4 inch or so diameter copper braid. Now you have a shielded XLR cable which will sound very good. Not as good as the Helix, but very good. I have compared. The Helix design is special giving the blackest background and most open sound I have yet to hear in a cable. Very resolving, but smooth and natural at the same time. Uncanny. The outer Helix acts as a Faraday cage.

Both of these builds can can be improved sonically by doubling up on the conductors.

Helix Double

- Two twisted pairs of VH Audio conductors for pins 2 & 3. One twisted pair to each pin. I would twist the two individual twisted pair sets together every 3-4 inches.
- Two TFA conductors for the Helix ground.

Standard Shielded XLR

- Same individual tinned braided copper tube shield as the single - pin 1.  
- Two twisted pairs of VH Audio conductors as above - pins 2&3. 

Use 4% Silver WBT solder. Be careful not to nick or mar the wire conductors when striping off the insulation. Use as little solder as possible to make a secure solder connection.
I will share here that I have made double helix RCA ICs and SPDIF cables for audio friends that preferred them to cables costing up to  $7800.  Not joking here. It really happens regularly. 
I wonder if the helix double sounds better as it halves the inductance?
Thank you for that information.

Nonoise, Yes I believe using oversized tubing is a plus.

I already ordered 60 feet of .9999 20 gauge soft silver wire along with oversized  PTFE tubing. To keep the cost down, can I also then add 60 feet of copper to make the double runs?

Then not sure if it will all fit into a XLR connector...