You can run a 16 from the head to the amp as the on/off or radio signal wire, and I'd run 12's to the sub since it'll be getting the most juice. 14s are nicer for the 4 satellite speakers, because it'll keep the wiring cooler than 16s, and cooler wiring means less resistance and clearer sound. Of course you can take this too far and go way over the top, in which case it's just plain silly.
How are you splitting up the power? Is it a 600W amp with 4 satellite outs and a seperate sub out, or do you have a seperate amp for the sub? I recommend, to music gurus who can't live without it like myself, having a seperate sub amp if you can afford it, because you can get better control of crossover frequencies and the fine adjestments that can in my opinion make or break a sound system. Also, if you push it too far and blow out the sub amp, you still have your satellites working.