What gauge wire to use

Probably a basic question but I'm not sure what gauge wire to use. I have some HIH6121 sensors (Safety and Productivity Solutions | Honeywell) with tiny pins. I only have 22 gauge wire and was able to wire one but broke another during soldering due to lack of room. What gauge wire should I use for these? Also one of them will have a wire length of about 8 feet, will that be a problem?

The supply current is less than 1mA, practically any wire will be fine, but the important
thing is to used shielded cable for sensor wiring of any length so as to minimize noise
pick-up.

Can you possibly suggest somewhere to find 4-wire shielded cable for a reasonable price that is 26-28 AWG?

Here's a 24 ga wire that might work:
http://www.jameco.com/webapp/wcs/stores/servlet/Product_10001_10001_644383_-1

Another alternative is to find shielded wire that's stranded core, and remove individual strands until what's left is small enough for you.