When I first started rebuilding I ordered spools of 24 up to 32 gauge...yeah I'll never use the 32. I like to use a lot of cotton so it would be problematic to wick. 40 gauge? Forget it.
Also keep in mind that PVs do have an upper resistance limit (e.g. 3 Ω for the SX Mini and P3, and 2 Ω for the
dna 40). I just checked on a coil calculator and a single wrap of 40 gauge on a 1/16" drill bit would be over 3 Ω. Like I said, forget it.