There is truly a dizzying array of electrical components available in this area.
For example, if you were to say "I want to use Raychem Spec 55 wire", you'd then quickly discover that there are tons of variations of Spec 55. As Paul noted above, 55A is quite common in motorsports. 55PC and 55M are also available. Within 55A, you have single wall insulation, dual wall insulation, high voltage, low voltage, un-screened, screened, single core, dual core, multi-core, tinned copper conductor, nickel plated conductor, silver plated conductor, etc. etc. etc. It goes on and on. To make things worse, if you do some research, you'll learn that Spec 55 wire is actually a pretty old specification, and there is much "better" wire available today that meets various newer military specs and is higher performance.
I'd personally recomend that you stick to 55A single wall. Buy it from IS Motorsports, as they stock lots of wire, sell by the the foot (so you don't have to buy 5000 ft spools), and have the wire that motorsports teams are interested in. An example part number is 55A0111-22-9. This is Spec 55 A wire, single wall, single core, tinned copper conductor, colored white, in 22 AWG.
The "M" in 55M stands for "metric", and just signifies that it's a metric sized conductor rather than an AWG size. It's also slightly lighter than 55A, which is why you see some F1 teams use it.
I'd recommend using Raychem DR-25 heat shrink. It's quite resisant to chemicals and noticably more flexible than many other heat shrink products. This area is like the wire - if you look into "heat shrink", you'll find that Raychem alone probably sells 200+ types of heat shrink. You can again source from IS Motorsports (they are a large distributor of Raychem products). DR-25 is the motorsports standard, but some F1 teams use DR-25TW, which stands for "thin wall". I'd personally use the standard version, since it's more damage resistant. As Paul flagged, this is part of the "System 25" system from Raychem.
If you decide to use the Deutsch Autosport connectors (interestingly, Deutsch is now owned by Tyco, which also owns Raychem), then you can use the Raychem heat shrink boots that Paul explains. Again, IS Motorsports has them. Be prepared to pay several dollars per boot. As an aside, you also see Souriau connectors on F1, in addition to Deutsch.
Raychem has very specific "Codes of Practice" that explain how to assemble your harness (i.e., how to twist the wires together, how to apply heatshrink, how to apply the boots, how to apply epoxy or other sealants, etc.). Raychem will supply these upon request and they are very helpful.
As Paul noted, Deutsch has very specific instructions on what crimp tool to use (most commonly supplied by Daniels Manufacturing) and how to strip and crimp the wires. Be prepared to spend several hundred dollars on crimp tools and positioning heads for the tools (you need two seperate crimpers to apply the complete Deutsch line).
Good luck! This is a very complicated area, and you can spend enormous sums of time and money if you want.