I began with these vintage-style brass terminals and the ratcheting crimp tool which is a fantastic value at $40.
http://www.vintageconnections.com/Products/Tools(Also look at Cycleterminal and Eastern Beaver sites)
I ended up going to Weatherpack connectors and the crimp tool from diyautotune.com when I started wanting to do terminal blocks. Bulky and modern but I hid them under the tank mostly. Tool is expensive but makes a great crimp. You'll want the terminal tools as well.
https://www.diyautotune.com/shop/wiring-components/all-connectors/https://www.diyautotune.com/shop/tools/I'd use the adhesive, high-shrink-ratio heatshrink tubing on each non-Weatherpack terminal myself.
For wiring gauge, you have a choice depending on how you design the harness. 16ga is generally acceptable for near anything, but if you are comfortable with narrower gauge wires, 18-20 is great for relay leads and 14ga or 16ga for the runs to lights, horn, or anything else with a greater load.
I used a marine-grade positive power bus bar to simplify my design. There are various fuse boxes available with the same type of function, but I didn't feel I needed individually-fused circuits. Sparck Moto and Eastern Beaver make pretty neat motorcycle-specific
fuse box designs. The Motogadget M-gadget is the ultimate in simplified wiring, including internal relays and all, but it's over $300 and seems way overkill on a simple vintage bike.