Wiring Harness Question

I decided to make instead of buying a wiring harness for my new LED lights to save some money (Now $75 deep, shoulda bought the harness). I am kind of stumped with the combination of wire gauges and I'd like some help.

I am wiring 2 lights, 10w each, in a ditch light orientation. The relay I bought is 30A and has 14 AWG wires. The lights themselves come with a female Deutsch-style connector hard-wired, and the male side is free to be wired by me. This male end has 20 gauge wires. Also, I looked at a wiring chart and found that I should use no smaller than 16 gauge wire for my application.

So really my question is if it is ok to just solder and cover the two different wires together, even with their differences in gauge.

Is it ok to wire a 12 gauge power wire to a 14 gauge relay power wire without issues of overheating/shorting?

Would it be ok to connect the 14 gauge wire from the relay to the 20 gauge light wires?