Red - To the PCM
Orange - Optional, but I have been hooking them up anyways - Run to unswitched +12v. I tie it to where I get power from the power distribution post to supply to the PCM. I have both the S2 PCM and the alternator on a 10A fuse. People think I miswired the plug if there is only the red wire to it.
Gray - Used by some PCMs to know the alternator is turning and how much power the alternator is putting out. Not used with the standard Series 2 PCM swap.
The orange wire is a battery voltage sense wire. The battery sense wire would be needed if there was a significant voltage drop between the battery and the alternator. You might want to keep it if you have a remote battery, however it is not required.