Cigarette lighter wiring

Bought a cig. lighter/power adapter from wal-mart tonight so that I can power things such as my spotlight and small compressor. Anyways, It can with a connector to clip it into a wire, but it doesn't at all specify which
gauge/system/etc. is best to use. So, my real question is...where is the best place to wire this wire in? I know it'll need to be an always on circuit. What kind of fuse system should I run it through? 20a?
Anyways, Hopefully this'll be my last question for awhile, probably won't be.

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