The problem is when you have a lot of wires, or need to go a very short distance, say for an IC of some sort. The gauge of copper would be impractically hard to work with. You'd want something moderately better, but not too annoying to work with, so it should be solderable. I'd start with constantan or manganin, which have lower thermal conductivity. Choose the gauge so you can just barely live with the increased resistance.