"TG - I assume your comment means that even if I run a 14AWG wire, if one of the lights has a wire that is 16 AWG, I need to have a fuse appropriate for the smallest wire, correct? I guess the principle is the fuse should be appropriate for the smallest wire in the circuit?"
Not correct, if you had a main run of 14 gauge which can safely handle 15 amps, and then tapped off of that with a bunch of lights that each used say one amp, you'd want to be sure that the number of lights/loads on that line didn't exceed the 15 amp total. This is as long as the lights/loads are wired in parallel, which they'll need to be to work.
Even though the lights will probably have tiny pigtail wires in the 18-20 gauge range you'd still fuse for the overall 14 gauge amp limit and be sure your total loads on the circuit won't exceed the 15 amps in this example.
If they were series then you'd have to fuse for the smallest wire, but if you did that your loads wouldn't all get 12v
and wouldn't work.