Unless you are driving properly terminated XLR (110 ohms), odds are you are dealing with source resistances of 600-2K ohms, and load resistances of 10K - 100K. Fairly small wires will work well at the typical lengths used. But then again large wires will work too.
Skin effect is a non issue. A larger gauge wires has more surface area than a smaller gauge wire, so even though it experiences more skin effect, its overall conductance is still lower.
Because of high load impedance, inductance in the cables is a non issue unless you do something ridiculous like the helix construction where you can actually make an inductor large enough impact signal transmission. More concerning is high capacitance due to the high source impedance. Whether exotic insulator really make a difference is up for debate. It sounds good on a marketing sheet.
Twisted pair construction and overall braid shielding will rarely steer you wrong, though overall braid does increase capacitance.