You get the same current flowing to ground as you have flowing to the pump, so yes, use fat wires for both.
I measured the current my pumps pulled while running and picked up some fat wire that was "rated" to above that (You may have to be careful because the pump will pull more current on 12V than it does on 9V now).
Run that all the way from battery, through suitably rated fuse, to relay, then to pump and then to ground. I just grounded it to the body down the back near the pump, works fine for me.
The other connections to the relay, the switching signal from ignition/computer can be skinny wires as they don't pull much current.