No. Smaller is fine for mid and tweeter. The larger gage is useful for bass but may be worse elsewhere. But as always let your ears be your guide.
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I have done it, most recently using Mapleshade for top and Anti Cable for bottom. Inconclusive results. As Tpsonic says results will vary as every brand will l have its own electrical characteristics. There is a very interesting debate now going on on the HIFICRITIC forum site about the value of biwireing at all. As for myself I have stopped doing it, partly because of cost , but also not sure it is always better.