Most windlasses will directly feed the rode below as it comes up, but this can put a good deal of mud and water into your anchor well - Sometimes it's best to flake it on deck, clean it well and let it dry before you put it below
The wire size is dictated by the amp draw of the windlass motor and the length of the conductors. For example, my bow thruster which can draw more than 100 amps (it uses a 200 amp fuse) requires 3 gauge for a positive and negative wire each 15' long. 3 gauge isn't common, so I've upsized to 2 gauge for that run
The windlass will be directly hooked to the largest battery bank you have aboard, which will be receiving the output of the alternator if the engine is running. The windlass will NOT run on the output of the alternator alone. Make sure you have a fuse as near the positive battery terminal as possible
Because the motor draws so much current, it will be controlled by a solenoid which makes and breaks the high power connection. You will have a switch up on the bow near the windlass which controls the solenoid to start and stop the windlass. Usually you'll use a foot switch for control so you'll have both hands free for handling the anchor rode
I would add a raw water wash down pump so you'll have plenty of clean water to wash off the rode and chain as it comes in over the anchor roller. There are few messier jobs than cleaning mud off your anchor rode and if you don't get it clean while it's wet, it will be a crusty mess once it dries, ensuring your foredeck and anchor locker are a stinky place
If you want to deal with a 30 pound anchor and 200' of rode and chain, you should probably be looking at about a 1,000 watt windlass, minimum - Probably a $1K to $1200 project, if you can do it all yourself. I'd love to have a properly sized system on my 27, but so far it remains 6th or 8th on my list of $1K 'wants'
Don