What gauge wire should be used when wiring the PRO TH4210D?

Use 18- to 22-gauge thermostat wire when wiring the thermostat. Shielded cable is not required. You should also plug the wall opening with non-flammable insulation after wiring to prevent drafts from affecting thermostat operation. (Page 6)

From the official Honeywell Pro Th4210D manual, page 6

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