+1. There's more to it than just thickness of the steel. The hardness also matters, as does the mounting method and angle. Targets should me mounted without bolts or anything else on the face that create strange ricochets. They need to be angled in such a way as to help direct bullet splash. If they are too soft, or are used with rounds that are too hot, they will get dented and pockmarked, and those little dents can create dangerous ricochets and bullet splash in unpredictable directions.
I don't recommend that novices try to make their own steel targets. Either practice on paper or buy them from someone who knows what he is doing. Perhaps ask your local club who makes their targets for them, and see if you can get some from the same source. Be prepared to spend $$ for decent steel targets and stands.