I personally would not use different gauge wire on a 2 way because you are making the wire change in a critical area of the music. I have found some speakers that offer separate posts for bi-wiring actually sound more coherent with single wire.
If the speaker is a 3 way and the woofer is crossed very low I don't see any harm in a different gauge wire to the woofer.
If the speaker is a 3 way and the woofer is crossed very low I don't see any harm in a different gauge wire to the woofer.