Reply To: thickness of the steel sheet to stop pellets
I would suggest building yourself a wooden box and fill it with rubber mulch or you could use a cardboard box for short term use(you would have to replace the box eventually).
I think there has been a few examples of these on here that people have built. That should help to capture the pellets rather than having it fly all over on impact.
Ted has an example of one on his tedsholdover.com webpage near the bottom of the page.