Thats right, switches are not supposed to carry big loads... they wont last long then. But with a small relay (30Amp) it will work like a dream. Just look at the "Ford relay" for the starter motor, it will carry hundreds of Amps. Imagine that you only mounted a small switch to engage the starter, it would burn like a torch...
So the relay will take the heavy Amp. load away from the switch. Some heavy Amp. users are for example: Headlights, pumps, and electrical fans.
Here is a nice schematic over dual headlights:
And to know what cable size to use, you gotta know the - Amp/watts the unit will take to function, and the length of the cable. Here is a wire gauge table at the bottom of the page to help you with that: