I want to wire 5 lights (recessed) to one switch, is power coming in at the switch is that okay? How do I wire the lights, with gauge wire etc.

Bringing power to the switch is fine. Snip the black wire and connect it to the bottom screw on the switch, then connect the continuing end to the top of the switch. Do not cut the white wire. At the ceiling opening, pigtail the black wires from the fixture to the black wire from the switch. Also pigtail the White to the White wire.

You did not mention wattage but 14-2 wire should handle this situation.

Bob,

Correct, I did not mention the gauge of the wire. Must've been a loose nut on my keyboard, thanks for following up.