Seeing as that the whole guitar output signal goes through a very long distance of 42 or 43 AWG wire in the pickup itself, a a few cm of even the thin kit wire isn't going to cause any measurable losses. You'll lose far more signal (especially the top end) through the capacitance of the guitar lead.
However, I too prefer to use the 22 AWG stuff. It's just easier to work with. I often use the Allparts wire that PBG sell, though with me being in the UK, I get it direct from Allparts UK. But the PBG price is a a good one.