Thick Yellow - Permanent Live 12v, this is so it 'remembers' what colour it's on.
Thick Purple and Thick Orange - Twist them together and connect to a switched live. One is for the backlight and one is for the needle, can't remember which is which but it does'nt really matter on our cars. This is because on some cars you might want the needle lit all the time and the backlight to come on with the lights, etc. Although our instrument lights come on with the ignition you still want the purple and orange connecting to a switched live so the gauge stays lit with everything else when the lights are on but the ignition is off.
Also there is a setting on the gauge that keeps changing the colour, I suppose some people like it like that but it's also worth remembering that these gauges are not of the highest quality and can change colour of their own accord. I used to have both of mine set to blue because they matched my HU but one of them kept changing back to red even though they were wired in together, now I just leave them on red.