Heavier gauge copper will probably have lower attenuation, but it's not a simple matter of lower DC resistance. At the frequencies we're talking about, skin effect is an important consideration (that's the effect whereby high frequencies tend to travel mainly in the outer skin of the conductor, not the core). I imagine heavier gauge copper will have lower attenuation because it has more skin.
There are many other high frequency effects which all contribute to the attenuation - inductance, capacitance, standing waves, etc. - so attenuation is never a simple matter to analyse.