Jim Gremmel puts out a well annealed wire of most sizes.
Trouble with using romex or even a single conductor from home depot is that a number 14 wire is going to be too big for many if not most of your wiring needs, try wraping this around an almost hardened off branch and you'll be looking for a new branch unless you have strong nimble fingers, make that very nimble. There are also issues with this process where unless you hit it at the correct tempretures the wire may be over or underdone, either you will find after you have gotten half way through wiring a branch. Trust me after wiring half way up a branch and have it break off because it is over cooked and you won't be happy. Try it if you want but for smaller than a #14, I'd suggest getting wire from someone that does it well. Not saying it can't work, but for me I buy most of mine, I do make some of mine, but it is the larger sizes usually, #14 and up.