Most people today use Kynar hook-up wire for this sort of thing. Even WalMart stocks it.

Go carefully there. Kynar tends to wilt at soldering heat. Press insulated wires together when they're still hot and suddenly they can be kissing; a 1-diameter short is easy to overlook when you're inspecting your work.

I find it worthwhile to use teflon-insulated wire here. When I'm building a prototype, the last thing I want to have to distrust is my construction.