First twist together the wires to be joined. For larger wire use lineman's pliers to apply twist. Make the twist clockwise. Then twist on the wirenut clockwise on the wires. Wirenuts are rated as to how many wires of a certain size they can hold but in general twist by hand until you can twist no more and then about 1/2 twist with pliers. If the wirenut does not get tight it is too big or internal metal portion could be clogged in some way.
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The wire nuts do not have to be inside the junction box. They must, however, be as tight as possible to keep moisture from inside the light fixture.
usually you segregate them. all whites together all blacks together all non-coated copper wires and/or green coated wires together use wire nuts to connect above-mentioned wires together
Use what is called bell wire or thermostat wire.
Use the 4 wire if possible. You would only use a 3 wire for an old appliance.You shouldn't if possible. The 3 wire has no neutral wire as the 4 wire does. Som applications require the use of a 3 wire and some don't.
There should be no joints like that inside the breaker panel. I'm pretty sure the NEC, or in my case the Canadian Electrical Code prohibits having any wire nuts/marrettes in it. Any such joints should be done outside the breaker panel in it's own junction box.