I have used really thin steel sheet on the order of .020-.030" for a full length (guard to rear thimble) wear plate. It was scrap that I had and steel wears pretty well. I used black iron wire from Brownells as pins to hold it in place. You drill your hole for the wire about .25-.5" deep. Cut a .75" piece of wire and tap it in to the bottom of the hole through the steel sheet. I drill the holes .002" under the size of the pins. I slightly countersink the holes in the steel sheet. Once the wire is seated in the hole, trim it as close as possible to the plate with diagonal cutters. Then pein the wire down to fill the countersink in the plate. Everything gets filed flush when you are done.
By the way, steel sheet this thin does get dented and the dents from the peining remain. However, it looks just like an antique. The E. TN I used this on looked like an antique when I was done. Everybody who saw it was impressed. Of course, if you are not going for an authentic look then a little thicker steel would be in order. I would not go as thick as 1/16". I think that much thicker than .030" is going to be hard to bend. I routinely use 22ga steel sheet for the thimbles and nose piece on plain iron mounted guns. That is close to what I have seen on originals. I use .045" for thimbles that I am going to file, but that is not an authentic look.