The popular and well trusted vendors around here are
Ultimarc
Groovy Game Gear
Paradise Arcade Shop
Arcade emulator.net
Don't forget joysticks also.
Wire on a real arcade machine would typically be 20awg for the controls.
You can do fine with 22awg.
Use stranded wire, crimp on connectors are not made for solid wire.
Alot of the vendors sell connector wires with crimp ends already on them.
What I did, was I bought an economy jamma harness from jamma boards.com (others sell them too)
and I cut the board connection end off and used the cables. The proper sized quick connects are already in place.
I don't have any problems crimping on connectors but I found this way to be quick & easy.