To answer your questions,
1. different gauge wires bring different resistance (ohms) very generally: thicker the wire (lower the gauge # the thicker the wire) = lower the resistance. But this is all dependent on how you wrap your coils as you can see from different youtube tutorials and posts on here. Which is why when you do decide to start building you should 100% invest in an ohm reader. Cheap ones can be found for like 8 bucks.
2. Wicks: people have different preferences on what wicks they use whether its, silica, cotton, ekowool, etc. Currently the trend is to use cotton as a wick, plus personally I feel like I get better flavor from cotton. Additionally since rebuilds, for the most part use microcoils, macro, whatever, its a lot easier to wick your coils with cotton because its easier to manipulate.
3. The danger part of building is choosing the right batteries for builds. (google Baditude blogs for more information on picking a battery, that is how I learned!). Each battery is built differently and can only safely operate to certain ohms. Which is why you need an ohm reader! (ive sent this chart out a lot, but this is can give you a general idea
http://vineyardvapes.files.wordpress.com/2013/12/4jeiawz-e1388383058663.png)