They need to have a path back to the panel (don't pretend you found "ground" on a pipe somewhere), but they don't need to be individual wires all the way back. You can join up grounds, and a #12 or #14 is ok.

These are to carry the current from one fault somewhere for the time that it takes to trip the breaker, so they don't need to be bigger than the branch circuit wires and how many you join up doesn't affect wire size needed since we assume only one will be conducting fault current at a time. Connect the ground wires to any junction boxes along the route. You don't need to add additional junction boxes just for the grounds.

The ground should follow as closely as practical the route of the hot and neutral on each circuit. If a fault current has to make a big loop (hot from the panel, fault somewhere to ground, and a different path on the other side of the house back to the panel) the breaker trip time can be extended because magnetic field effects limit the current. You want a very large fault current for a very short time to trip the breaker fast, not 40 amps for a long time heating things up before the breaker trips.

If you currently have individual wires in conduit, you can add an individual ground by pulling it through the conduit. But I don't believe you can just add an individual ground wire without it being in conduit or romex. Feel free to correct me if I'm wrong about this.

You can also protect a circuit with a GFCI and add 3 prong plugs. There will be no equipment ground and you must label the outlets accordingly.

I am going to agree with cobra guy on this... ALL of your conductors need to be in the same casing, weather it be conduit or sheathing (romex). The best course of action like corbaguy suggested is to gfi protect.

OK Cobra, I will correct you. You are allowed to run a ground wire separate from the other conductors when grounding an otherwise ungrounded circuit [250.134(B)Exception 1]. However, it is usually just as easy (or difficult) to replace the entire cable with grounded cable.

Thanks Normel. I actually came across one of Brickeyees posts on another thread that said the same thing. My thought process was running THHN through the house and not being in conduit.