why do cables joining the wall sockets in a house need to be thicker than the cables joining the light fittings? I don't understand and I need to know before I buy it.
The wires to the light fixture will only carry the current drawn by that particular light fixture (on the order of 1A or less, for simple fixtures). The wires in the wall between fixtures carry current for all fixtures on the circuit, and are protected by a fuse or circuit breaker in the main panel. The wires in the wall must thus be sized to carry the maximum current allowed by that circuit breaker. For 15A circuits, this is #14 wire; for 20A circuits, it is #12 wire.
Note that the wires to the fixture must also be sized to carry the maximum expected current, but that is (largely) determined by the manufacturer of the fixture. Light fixtures have a sticker somewhere stating the maximum wattage of bulb that can be installed. This is partially due to heat (not really a concern anymore with CFL and LED bulbs) and partially due to the size of the wiring.
Some (better quality) fixtures / equipment will also have internal fuses or breakers that are sized to protect the wiring in the cord.
They don't. Wiring to a light fixture must be the same gage as the circuit proper (12AWG for 20A).
Wiring inside a fixture can be a smaller gage, but those follow inside-appliance rules, which come from UL, not Code.
There's also a set of deep-arcana buried in Code called the "tap rules", but good luck finding a home inspector who will let you use tap rules in a residence in his jurisdiction.
The primary factor limiting the amount of current wires can carry is the amount of heat that wires can safely dissipate without getting too hot. Wires which are exposed to ambient air can dissipate a lot more heat than wires that are buried within a mass of insulation. Rather than requiring different sizes of wiring based upon the level of exposure to ambient air or flammable objects that could ignite if a wire gets too hot, the Standard generally mandates the same size of wiring regardless.
Within a luminary, however, it's practical to define requirements in more functional terms. The wiring within a luminary should be large enough to avoid overheating even if the filament of a dying bulb falls in such a way as to draw any excessive amount of current that doesn't trip the breaker. The size of wire necessary to accomplish that within a luminary, however, would be much smaller than would be required to safely carry current through an insulated wall.