Quick and dirty drawing:
The leg from the + Battery to Pin 30 on the relay should be sized to handle the current that the relay can switch. So if you buy a 30A relay, size the wire for the run to handle at least 30 A. And fuse that leg!!!
The leg from Pin 87 to your + lights should be sufficient to handle the power the relay can output. So if the relay is 30A size the wire for the total length of run to handle at least 30 A.
The keyed +12 source can be standard 18g wire as you're not using that much current to switch the relay.
Here's what I did for my Tundra:
* 30A relay under the hood right next to the battery.
* 8Gauge wire from + Battery to Pin 30 on the relay. Fused to 30A.
* 8Gauge wire from pin 87 down to the center of the car. That splits into (2) runs of 12Gauge wire which feeds the + side of my fog lights.
* 12Gauge ground wire from each of the fog lights to a good chassis ground.
From the cabin, I tapped into a keyed 12 source and ran (1) wire from the lit on/off switch through the firewall to the relay. That's the only wire that needs to run from the cabin through the firewall to the relay. Very tidy.
All my wiring is wrapped in convoluted tubing and zip tied to avoid any chance of an electrical fire. I'd recommend you do the same. A very good place to get this is Waytek. I bought 100' of the stuff for under $30 shipped.