the thicker the wire (smaller gauge) the more the torque, but less turns would fit on the amature ,which leads to less speed....it's all about balancing out the number of turn to that gauge of the wire
you mah also want to upgrad to neo magnets :
http://mini-zracer.com/shop/product.php?pid=327
it adds a ton of torque
tinyrc's sister site has great deals on them.
a full ball bearign can would help tons