You know, I had the same question and PMed another member here a while ago, he said that he hadn't really thought about that, so what I did was to run a motor with the wires I was going to use for the diodes at different currents. I even put in 1.5 amps on the wires for 10 minutes, but they didn't even get warm, and they're pretty thin. So I don't think you should really be worried about that. If you want you can do the same thing I did. I think the only thing you have to worry about is to use stranded wire, because single strand wire causes too much stress on the pins of the diode, especially on the open cans since they have been found to have weaker pins than closed can diodes.