Sorry. I forgot to put that are going to want to make sure you fuse it. That way if it ever happens to ground out somehow it will pop the fuse instead of heating up the wire to the point of causing a fire.
For an example I had a VW Beetle that I built up. When I first bought it, the kid that had it before me took his stereo head unit out. The power wire had been a length of wire straight from the battery with no fuse. When he took the HU out he just left the wire hanging there. As I was towing it home the wire must have fallen out of the dash and touched the metal. I was about 2/3rds of the way home and saw in the rear view that there was flames inside the car. I immediately pulled over, ran back there with the extinguisher (good thing I ALWAYS have one in the vehicle that I am driving) and ended up putting out the fire. The wire had gotten so hot that it caught some of the carpet and insulation on fire. The flames ended up ruining the dash, passenger seat, rear seat bottom, ALL of the carpet, and the battery. It also took a LONG time to get the smell of burnt wire and car guts out.
The gauge depends on what you are running. The more power it needs the thicker the gauge. For neons and an alarm you wouldn't need anything thicker than stock. Just make sure you hide the wire very well if you are in fact going to run an alarm off it. If it is visible thieves would have a VERY easy time finding and bypassing/eliminating it.