Karla, you can use any gauge you want. Obviously, different gauge wire will mean different length
coils (depending on the resistance you want). 32ga kanthal will work just fine ;-)
And yes you can fix the pre-made wire by twisting together like in the videos, but it will shorten your resistance wire section so will lower your coil's resistance. Just try to keep the twisted portion as small as possible to minimize the difference
Got my Pene today

Haven't had a chance to build it up, yet, just got home from dinner with the fam, will get to it soon