Are you talking on the triggering/control (85 & 86) terminals or the output (87 & 30)?
Either way, for 85 & 86, so little current goes through there you hardly need much wire. 16/18 gauge with no issues.
Powering the fan, 30 & 87, fused 12 or 10 gauge wire. I run 10 gauge on my truck and cuda electric fan.