Dale,
Modern rigs usually have a wired ground system but I thinks it's because most everything is plastic. If you were a glutton for punishment I can't see any reason not to run separate wires for all the grounds. If all the light assembles and what-not are mounted on clean shiny metal, a separate ground system would be redundant...and sort of silly in my mind.
As far as wire size, because the device eats up some power to perform its function, I would thing a separate ground wire could substantially smaller than the supply side wire.
The mating contact between things like a taillight housing or a horn would have to be real cruddy for it not find ground.
I have not seen any threads in this forum that discussed this idea, but again, I haven't searched. Good for you for digging around first.
Stuart