I prefer silicone jacketed HV wire, it is supple and easy to work with, though the silicone is not terribly rugged, and can be torn.
Here is some HV wire on ebay....
http://cgi.ebay.com/25-KV-HV-High-Vo...QQcmdZViewItem
You see lots of HV wire of various types and voltage ratings go by on ebay.