You can get 22g steel sheet at Lowe's, Tractor Supply, etc. It is roughly 0.030" thick. They also usually carry 16g, which is about 0.060" thick. The 22g works fine for a one-piece nosecap, just resign yourself to a practice run or two to get the hang of things. A simple form is easy to make from wood; secure the cap with hoseclamps. If you go much heavier, you need a lot better setup and might have to work hot to get a one-piece.
22g would also work for plain pipes, but it might not hold much filed detail, 0.40 or so might be better: you can order different thicknesses from TOW, although it is relatively expensive. For my pipes with flats, I used 16g. It works, but it is too thick for easy working, and I ended up filing quite a bit off in that application. The 16g worked well for everything else, though, including buttplate, toeplate, patchbox and even sideplate for what I was doing.
As said, you don't need to/can't anneal mild steel. It will work for a long time (long enough to finish a piece rouqhly) without hardening sufficiently to cause trouble, at least in my experience.