There is no such thing as "XLR cable" XLR is a connector, and the 5 pin version of it is used for DMX, so basically you are comparing 2 names for the same thing...
The guage of the conductors doesn't really matter. What DOES matter is the charateristic impedance of the cable. The cable has to be near 120 ohms to prevent reflections and smearing of the data signal. A mismatch in impedance can cause the system to behave unpredictably. Just as you can only use Cat 5, 5e, or 6 rated cable for an ethernetnetwork, DMX should use cable designed for the purpose.
There is a standard written by PLASA and accepted by ANSI for the construction of cables for DMX use: ANSI E1.27-1 - 2006 (R2011) Entertainment Technology-Standard for Portable Control Cables for Use with USITTDMX512/1990 and E1.11 (DMX512-A) Products. As much as I'd like to help I don't really feel the need to buy it for $15 and then give the information away. The old standard from 2006 (same exact name just without the '(R2011)') is technically obsolete, but should have very similar if not identical information so if you run across that the information should be accurate enough to give you a good idea what the characteristically should be. If you're really excited about seeing the standard ANSI has a store where you can buy it here.