There are many ways of wiring up HID's, but my experience has been to use the KISS method with proper, high-quality, installation techniques.
Mosslagers method will work fine, mine is easier to wire, but maybe more time consuming, depending on your soldering skills.
My Checker HID's came with a 16 ga. wiring harness designed to tie both lights off one 16 ga. wire. I wanted to improve on that, so I got some 14 ga., 2-conducter speaker wire at Home Depot. It has a 14 ga. red and black insulated wire inside an outside plastic cover, so it is double-insulated. It will easily fit into a 1/4" hole. If you are really into overkill, it also comes in 12 ga.
So, I connected the right HID to the 14 ga., ran it about 3 feet to meet up with the left HID wire, and tee'd the wires together. That way, there was only one 14 ga wire running inside the cage down to the switch.
I know, I know, you should not run 2 Checker lights off one wire and one switch. But why not? A 14 ga. wire is good for a continuous load of 20 amps, the 2 lights draw about 7 amps, so you have plenty of capacity in a 14 ga.
That being said, here is the kicker!! I can guarantee that this will work only if you solder all the connections. I soldered, taped, and used heat shrink from the lights down to the switch, no butt connectors, no quick disconnects. I left some extra wire in the cage tubing and by the light, so if I do have to remove a light I will cut the wires, and then solder them again. This allows me to have essentially no voltage drop between the light and single switch.
On the switch and the battery I used soldered ring connectors. The fuse block was soldered in.
Agree or disagree, it works. Soldering 12v. wiring is considered the best way of making connections, here is a link to a site documenting that.
butt connectors or solder
If you think this is off the wall, go look at the size of the wires going to your headlights on your Rhino, that sure looks like 18 ga. to me.
Let the debate begin!