The way I see it, water and electricity work in much the same way.
Imagine the wire is a hollow tube through which water has to pass. We all know that the bigger the diameter of the tube, the easier water can pass along it. If you reduce the diameter the only way to get the same amount of water through is to add pressure which will use energy and increase the temperature of the water.
Same thing happens with wire. The smaller the diameter the harder the electrons have to push in order to get through, heating up in the process reducing both the life of the lead and the available energy reaching the spark plug. Also, as electricity will ALWAYS take the easist route to earth, any breakdown in the lead's insulating cover due to overheating will result in the spark jumping to earth via the nearest earthed metal object.
By using thicker wire the electrons can flow more easily and therefore more get to the plug and the lead stays cooler. Thick insulating cover will also reduce the possibility of the spark straying from the straight and narrow.
The more powerful your ignition setup, the thicker the leads have to be.
Thicker leads won't give you more power but they will allow you to use all of the power that you have available.
Does this make any sense?