Don't shoot the Beagle!!

There should be a wiring diagram on the ballast itself. Basically all you need to do is get some 14AWG wire and extend the bulb leads with some wire nuts. I think he mentioned the orange extension cord cause they are generally 15 Amp Hvy Duty cables and are cheap.

The difference in wire size you are seeing is probably only in the insulation, but again, 14 gauge wire will be plenty for a 400W setup, thats what I used to build my lamp leads. Use as short a run from the ballast to the bulb as you can. Make sure the common goes to the threads of the socket, and the hot/power line to the center and you're good to go!