I'm quite lucky - I have an independent toy railway/model shop in town where I buy most of my supplies.

However, I have bought with success from eBay before, and they're my main recommendation. As to thickness, anything less than 1mm is 'thin', 1mm-2mm is 'sturdy', and anything over 3mm is 'thick'. I would recommend you get a sheet of less than 1mm thickness for details, 1mm-2mm sheet for building large boxes, and 3mm or more for things like the Heavy Bolter in this tutorial.

My best advice would just be to experiment with each thickness and see what works best for you.