You should use RG-6 coaxial cable - the same stuff you run to your cable box or satellite receiver. The cable can be terminated with an F-type connector (screw on type) like you hook to your cable box, then for the wall plate, use a F-type to RCA wall jack. Works great!
Don't forget that your subwoofer needs power. So, be sure to pull power right next/near the RCA jack for the sub.