You will want to use as large a wire as you can get away with. If you are making your harness you may be limited by your wire bending tool. I’m pretty sure I use .041 but will be down in my shop later and will check. If you use too small a wire, the a rig won’t hold its shape well and bend easily. Also as you have experienced, if the wire is too small for the swivel sleeve, or not sized correctly, they can slide on you. I will look at the crimping tool I use and see if it has markings but it is one with several slots to choose from. I use a small slot with a vee that crimps tightly.