How did you construct your controller box?
I was also wondering what type of wire I should use to cable everything
I like this type for cabling from stepper drivers to the stepper motors: www.mcmaster.com/8082k81 Goes great with GX12-5 or GX12-4 connectors. Probably overkill for a Sherline setup though. Shielded type is definitely a good idea.
Logic level from 7i96 to stepper drivers can be small gauge, i.e. >=24AWG. It's useful to use various colors. I usually use silicone insulated wire as it's easy to strip with fingernails, like this www.amazon.com/gp/product/B073RDK4C9 I also recommend ferrules, makes everything neat.