ok,
Let's get a few terms here straight because it is important to be on the same page on these subjects. These are Voltage Rating and Current Rating.
In the subject line you ask about voltage, the gauge of the wire has nothing to do with it's voltage rating. The insulation does.
In your original post you ask if there are places you should use a heavier gauge, this is a question that refers to current ratings. This is where the gauge of a wire matters.
SO, to answer the posted question if there are places you should use a heavier gauge in places, YES.
The areas are few, the mains. all of your mains everywhere should be 16ga or more.
Heaters, the preferred way is to wire the heater wires (6.3v) from the PT to either a lug strip or the lamp. from there, use 18ga to the power tubes. from the power tubes to the preamps you can safely use 20 or 22ga.
Rectifier heaters, (5v) should have a direct connection from the PT or if landed on a lug strip for what ever reason, should be wired with 16ga.
NOW as far as voltage ratings, I believe the cloth covered wire Doug sells is rated at 300V. I may be wrong, Doug will have to verify that himself. However, Many of us, including myself, have used it at much higher voltages with no ill effects.