One way is with a distribution block.
Run one thicker gage wire (4AWG or thicker, typically) from the battery to the distro block, which then splits the power up to thinner wires (8 or 10AWG, typically) that run to each of your components. My suggestion is to get a distro block with fuses for each of the components.
For ease of wiring, StreetWires makes a combination distro block for both power and ground and all the power connections are fused, although the fuses are sold seperately.
It's a nice little package, IMHO.