I use some 15KV rated teflon wire I got from Fair Radio for my HV wiring. They probably still have it available and it is nice to work with; I purchased some of the rubber insulated HV wire from RF Parts several years ago and it is a major pain to strip and generally awkward compared to teflon.
Like GFZ says, any external HV wiring should have a grounded shield around it for safety and if you have small animals consider using soft copper tubing as the shield since it is pretty much tooth proof and flexible enough to work well.
I think there were quite a few postings on the amps list over at
www.contesting.com concerning the Millen HV connectors so you might want to go over there (the archives are searchable) and you should find some good information.
Rodger