Yes, the solid core Radio Shack wire is an option, although I would try to stretch the teflon covered wire provided with the kit as far as you can. When you heat up the Rat Shack wire and solder to it, the heat from the soldering iron will soften up the plastic. If there is a 90 degree bend in the wire near the solder joint, the PVC jacket will often get soft enough that the bend in the wire will cause the plastic to melt and pop up and away from the bend. A soldering station can help prevent this problem, as you have some control over the temp.
The CAT5 plenum suggestion is a good one.
-PB