Thanks! but what wire do I need to buy?
18 gauge "thermostat" wire. If you are replacing your existing wire then you need minimum 18/3, if you will just run a new wire but leave existing wire connected then you can technically get away with 18/2 but I wouldn't recommend it as its likely easier to just pull the old one out to feed the new one in its place (like strip/tape it on to old wire and then pull it if you have access to where it goes into the wall (basement or attic), that assumes no staples inside wall holding it tight. For best future proof you'd likely want 18/5 since that will give you free conductors if you ever want to hook up something else like separate fan control, support heat & cool mode, etc.
You'd need to figure how long a wire you'd need. You can buy on Amazon, Home Depot, Lowe's etc. typically searching for "thermostat wire" would give you the results you want and then just figure out the length you need and number of conductors (18/2, 18/3, 18/5), technically any 18 gauge wire would be sufficient but "thermostat wire" will be the number of conductor options you want (most other wires would be sold as 18/2, 18/4, etc vs thermostat is sold with 18/3 & 18/5 options).