If you take the same load at 40v that you originally had at 120v you will have 3 times the current. Things are complicated somewhat in that you are comparing a balanced 3 phase resistive load at 120v to a dc resistive load at 40v but if there is no battery involved it doesn't make a lot of difference to the cable argument.
Without resizing the cables the cable loss is going to go up about 9 times.
If you are shunting the dc resistive load across a battery then things are worse as the instantaneous current into the rectifier is carried by a pair of the 3 cables at any instant and the losses are worse.
If as I suspect you are hoping to charge the battery and when it is full, divert the dc to a heater not connected to the battery then you have several issues to contend with.
When connected to the battery you may benefit from the undersized line cable as it may match your blades better and give you more power. You will now be working in a very different mode from your original heater scheme. It will be stall dominated and control will be easy.
If you disconnect the battery and connect a heater it will work in a different mode, it now really needs a cube law heater controller to give good results, any single resistive load will be a compromise, running stalled in low wind and run away in high winds ( similar to what you had before). The cable losses now are wasting your available power and are not desirable so you would benefit from thicker cable.
I am not sure how much you want the battery power and how much you want the heat but the best simple trick to get a good compromise is to beef up the cables to the point where they cause very little loss. The machine should stall hard into the battery at this point if it is a good size alternator and you have chosen the cut in correctly.
If you now add a series dc heater in the line from the rectifier to battery you can bring it out of stall and choose a value that gives best charging current. When battery charging in high winds you will get some heat from this series heater.
When the battery is full you could use a diversion controller to dump to another dc heater as others do as a dump load. This will float the battery and you will now have heat from both heaters.
The 24v dump load heater is a low and awkward value bit you should cope ok. The series heater in the line will be a very low resistance and will be awkward to obtain and particularly so if you want to dump the heat as an immersion heater but with ingenuity it can be done ( banks of diesel glow plugs may work).
Just one other point. If you have wound this to charge effectively at 24v then if you disconnect the battery and connect a heater to the dc output I would expect much more than 40v unless you keep adding resistors in parallel to keep it stalled.
If you cut in at 8mph at 24v then if correctly loaded you would be looking at nearer 100v in a decent wind so watch rectifier voltage ratings.
Flux