Depends on the load but more so on the length of the run for me. In general, all my servo extensions are heavy duty. I have a spool of heavy duty wire to make my own extensions from time to time. Just an FYI - the cheaper extensions (standard or heavy duty) sometimes come with tin plated contacts in the connector. If you have two dissimilar metals with current passing through them, corrosion can develop over a few years time frame. I've had twitchy servos because of that. The quick fix is to unplug them and plug them back in. The right fix is to use all gold contacts. Just my opinion.
Edwin