That will work, red. Anywhere from 30-36 gauge is commonly used for this purpose, depending on personal preference and the ohms your shooting for (I use 34-36 ga for nichrome and 32 ga for kanthal, myself)
For the no resistance wire, bare nickel wire .2 mm is what Bruce sells and is also available from wires.co.uk, but silver wire will also work and can be bought many places including some craft stores
For wick, there are discussions
throughout the forum on the various wicking materials. Personally, I just use the stuff from CoV, I've tried other materials and that's the one that I like best. He'll have more in stock soon and your Ody/Penelope will come with a meter of it, too