I've always just used .5" MDF. Some of the grills I've made have had pretty thin wals after everything is cutout, haven't had any issues . On the 8.5" baffles with the 7.25" flange , it gets pretty thin after you cut a recess for the woofer flange (sepecailly if you put a decent sized roundouver on the vertical edges of the baffle).
I always run a small roundover around the inside of the grill frame when I'm done
jay