On small runs, as long as the cable can carry the current required by the item, you can use a lighter cable. Don't use something lighter than the fuse though - if your device is a 4A device, it probably has a 10A fuse, and you should use 20A cable.
The heavier the cable though, the better. Bigger cables are more sturdy too.
The heavier the cable though, the better. Bigger cables are more sturdy too.