For making a link, you can use clear silicone tubing as the thermal barrier on the small gauge stuff.
On the subject of wire designed to burn, that's kinda what a fuse usually is, isn't it? If you're driving a car made in the last 5 decades, odds are very good that it has at least a few fuse links built into its wiring harness.
I do like the item Carl linked; looks like a good value for the intended use. Links tend to be very slow acting, which can be desirable or not, depending on application.