Just as I was going to toss the BS flag on the field, Broncobowsher sets it straight...
I suggest using welding wire for the run as it's pure copper and has a nice tough jacket. According to charts on the internet, 1/0 is good for 350A, 2/0 should handle 400. I've used 1/0 on most of my installs with no issues. With two batteries, 1/0 will even work for a larger winch, but with only one battery, I'd recommend 2/0 so your winch sees a bit more voltage at max draw. Neither will overheat and smoke in 4 seconds, or even 4 minutes...
Note that you only need one full length wire run, for the positive. Unless you're wiring a really short vehicle, or the battery is in the middle, 20' is probably not enough... I lay an extension cord along the route, mark it with tape, and then remove and measure to get a length, as it's never a straight run once you start trying to strap it under the vehicle...
I also use the frame for ground return instead of running a full length ground wire. The frame is a MUCH better conductor than the wire, and it's FREE. I run a short ground wire from the Anderson to the frame, and then another from the frame to the battery. A heavy wire from the frame to battery is VERY IMPORTANT because the factory ground path from frame to battery was never intended to handle 400A, at least not in a continuous application like winching!
You might also consider putting a shut off switch on the positive leg of your winch wiring, right at the battery. This keeps the wire under the truck from being hot all the time, which can lead to corrosion, particularly if your are from an area where they salt the roads in winter. It also keeps it from burning down your truck if something happens on the trail. If you turn it on to winch and it's shorted, you'll know right away and can shut it off before (too much) bad stuff happens...