The various alternatives have their drawbacks.
In general, I try to use a crimp-type butt splice (designed for two wires of the same size) and a ratchet crimper. The two smaller wires go in one end, the larger goes in the other. It will always work
if the smaller wires are two sizes smaller than the large wire (like a #10 and two #14s, or a #12 and two #16s), and will sometimes work
for differences of one or three sizes (#12 with two #14 will work but #10 with two #12 will overfill the connector, for example). It may be necessary to strip the smaller wires back a little farther than usual, and it doesn't hurt to put heat shrink tubing over the whole thing when done.
There are terminal blocks designed for the situation but these are supposed to be mounted to something. They have the advantage of allowing individual wires to be disconnected for troubleshooting, refit
, or repair. There are many styles, but here's one of the more useful ones:
Another alternative is to solder the wires and cover them with heat shrink. This works well for smaller wires, and can work OK even for battery cables
if you have a large enough soldering iron to do the job properly. It takes skill and the proper kind of solder. In a high-vibration, high-current environment
, crimp connections are supposed to be more reliable but my experience has been that either will work just as well if made properly.