1) Major safety precaution - check the specs on the mod you will be using for the lowest resistance (ohms) it will fire, this will be your only major limitation on regulated mod, for a mechanical it gets a little more dicey as the coil and the battery you use work in tandem, which then you use "Ohm's Law" which has many formulas, but I use this one with my mechs (Voltage/Resistance=Amps), and most 18650 "High Drain" batteries fall in the 20amp Continuous Discharge Rating category, so keeping below the battery's CDR is key, though on a single battery mech it is suggested 0.25ohms lowest, dual battery series 0.5ohms lowest, dual battery parallel about 0.14 or 0.15 lowest.
2) Wire size is all dependent and subjective to you, lower number gauge wire is thicker, more resilient, stronger, and has lower resistance, downside it takes longer or more power to ramp up to heat, and it takes a longer time to cool down. Higher gauge wire is thinner, more fragile, less resilient, but has higher resistance, ramps up to heat with less power needed, and cools down quicker. I keep on hand 4 gauges of wire at all times, 32awg, 28awg, 26awg, and 24awg. 24awg I use the least, solely in my RDAs when I am looking for a powerful, large diameter, low resistance build for cloud chasing, 26awg is my second most used wire solely in drippers again, but also my sub-ohm RTA tanks, but I use it for its balance of good thickness, decent resistance, and dependability in my drippers on smaller diameter higher resistance flavor builds. 28awg is my most used gauge wire, I use this in my Kayfuns and mouth to lung RTAs, due to its higher resistance still over 24 and 26, it fits nicely in all my Kayfuns and is strong enough to keep up with the abuse as my Kayfun class tanks are my main all day vapes I need a wire that ramps up and cools down quick with these, so 28 fits the bill nicely. 32awg I keep on hand to rebuild my old Protank coil heads, but its second role I use it the most in is to make clapton wire, 26awg core wire wrapped with an outer shell of 32awg makes a perfect clapton wire for me.
These are just examples.
3) Types of wire - there are many out there, myself I use Nichrome 80 mostly these days over Kanthal A1, beginning to learn to build I would suggest Kanthal first NiChrome80 second, both are allows, NiCh80 is softer with lower resistance than Kanthal so it fires and cools down quicker, Kanthal is forgiving on beginners, a little harder material wise but can be dry fired hotter than Nichrome80 YMMV. Stainless steel wire, I have been experimenting with this of late, lower resistance, and can be used in dual roles (standard power output or temperature control mode) which makes a very flexible wire to get to learn to use as well as gives a cleaner taste to your vape. Nickel (Ni200) and Titanium (Ti1) are exotics that can only be used in temp control mode on a TC mod, they have no other use to a beginner so stay away from them in the beginning, especially if you do not have a mod that does temp control.
4) Practice and run simulations as well as build up your tool kit, which will require a resistance meter (ohm meter), optional but suggested a digital multi-meter (can read resistance as well as voltage and conductivity), set of jewlers screw drivers, pair of needle nose pliers, pair of flush wire cutters or small fine diagonal cutter, pair of tweezers (ceramic tipped tweezers highly suggested), or a building kit like the "Coil Master Toolkit" that should have all the basic tools you need, then arm yourself with the below website for several good calculator tools to use
Steam Engine main page
Two best tools on that site are the "Ohm's Law" calculator as well as the coil simulator/builder apps