Over many years I've accumulated a box full of 42 wire that I've broken while winding. I usually have a 0% failure rate the past few years. I've learned the proper tension to guide the wire as I use my winder. What are you using for a winder? If you want to visit my shop in Stuart I'd be happy to show you how I make my pickups. You can call me at 856 404 0411.
Hi TS. A heavier gauge wire can work... but you'll notice when buying guitar pickup wire that the thicknesses used are almost always 42 or 44 gauge. The reason is that those tend to work better than other gauges. So there are a couple of tricks to winding:
1) Use a winding device of some kind. A lot of people adapt an old sewing machine set on "bobbin wind" or if you want to go cheaper-- an adapted drill or hand mixer. Professional winders can be purchased for around $60 for a manual winder or $200 for digital electric.
2) Light touch. Use cotton gloves or a piece of cloth, as fingerprints do what they're supposed to do very well: grab. You only want enough tension on the wire to wrap it snugly around the core (not "tightly"... snugly). Pretty much any extra tension at all on this thin-as-hair wire will snap it.
You mentioned it breaking on termination. The only cure for that is to make sure you never, ever tug on the wire, 'cos it'll snap every time. The tension this wire can take is about what it takes to straighten it out, no more. Most of us fumble-fingers will find breaking it quite easy. TC's photo is pretty common until one gets the "touch" down (which for me took several pickups).
Not sure what method TC uses, but he surely has a great deal of experience hand-winding pickups.
Pickup winding can be frustrating, but yes, as you say exciting as well. I've built hundreds of pickups and still I look forward to hearing the sound when I put it on my test guitar. It can be difficult, but rewarding.