Size

No it does not matter, as long as everything is on the same scale (or else you get skyscraper-climbing giant killer kittens).

And also make sure your far plane/near plane ratio is small enough (below 50-100).

Thanks. What dimensions should I use (1 D3D unit -> 1 meter, 1 D3D unit -> 1 cm etc), what is most practical?

I would stick to units that are within somewhat realistic range. Otherwise, you''ll start hitting z-buffer precision limitations that ToohrVyk mentioned. For example, if your view frustrum is 1-1000000 because objects are millions of units apart from each other, then you might end up with weird clipping artifacts.

For convienence, I use 1 unit = 1 meter real world, because the modeling software I use defaults to the same ratio.