jonathan,
If you mean changing the wires coming out of the radio to a #10 instead of a smaller size, sure, it could be done, but there isn't much point to it. A size or two difference for the small length involved isn't going to make any difference in what is delivered to the radio. That assumes that the wire used is capable of carrying what the radio requires, which is a pretty safe bet, unless there has been a huge modification to the radio.
Not sure of what you mean by the next question. Using a larger than required size of wire to route power to the radio isn't usually a bad idea. There's a limit to that though. Once the size gets to the point where it get's sort of ridiculous, then it's just ridiculous, sort of (didn't make much sense did it?). It depends on the resistance of the wire used and the distance you have to go with it. I'm not aware of a general 'rule of thumb', sorry. Only sure way of telling you about size is to say that if you feel ~any~ heat radiated by the supply line, it's too small. (Terrible way of going about it but probably the most common?)
I'm not aware of any commercially available 'power line' with a built-in filter. The filters are pretty simple thingys to use, but the 'proper' size of supply line is always dependant on the particular installation and distance of the run. There are two basic methods of putting a noise filter in a power line and they depend on the type of filter. They either go in-line with the (+) wire, or from the (+) to ground. The 'in-line' filters are typically inductive in nature, the 'to ground' filters usually capacitive. Filters can be a combination of both too, so 'in-line' and 'to ground' are both possible at the same time. Confused yet? Don't feel bad, that's a very common feeling with electronics - lol.
- 'Doc