Since you already bought the winch, look up the amp draw. Now check what the proper gauge wire is for that draw over 18-20 feet from the battery to the winch.
I've got a cheapie winch that has around 12 gauge wire on the snap in connectors. I use that and a set of jumper cables to reach the battery. I figure that the wire and connectors on the winch are the weak point, not the jumpers. Your winch may vary.