Flux core wire?

To answer the original question, I suggest you buy a small bottle of 75/25 gas and a spool of solid core wire. The results are much cleaner, and in my opinion the welds are higher quality. The gauge of wire really depends on what you will be welding. Given the electrical limits of the HF welder, .030 wire is going to be the best compromise for general use. If you are going to do sheet metal repair, then going down to .023 wire is a good idea.
But honestly, try solid core wire with gas... you'll really like the results compared to flux core wire.