You guys are applying AC in-home wiring standards to DC automotive problems. Take a look at your pickup truck, there isn't a single wire bigger than 12 gauge running to anything other than the alternator and starter.
You should use 12 gauge wire for a 40 amp relay. In fact that would be a standard 40A automotive circuit.
EDIT: I didn't read this quite right.... a 40 amp relay and 12 gauge wire go hand in hand... but you want all of this:
a set of 55W front lights, pair of 55w rear lights, strobe beacon, dome light, defroster fan, front wiper and rear wiper
on one 40A relay? Somehow I doubt that adds up. The defroster is likely near 40A all on its own. Each 55w light is 5A. Each wiper motor is probably 5A. The strobe and dome light are probably around 2A.
Normally you run each switched circuit to one relay. Why even worry about ignition on? Run them from the battery through a relay to a switch you put on the dash and then you can turn on the dome light or beacon or rear lights without the ignition. You'd be surprised how useful that can be (the tractor lights are wired like that already on my 4200). And use the inline maxi fuse holders with weatherproof hoods ($2.50 at TrueValue) and save yourself a pile of trouble.
Only the defroster really needs a relay. Most switches are rated at 12V/10A so you don't even need a relay for the rest if you don't want. I wired two extra 55w lights directly to the headlights circuit in the ROPS. On my 4200 the wire was already designed to handle the extra load.