I have been using styrene for scratch building for years and love the stuff. The thickness used depends on what the application is. For making car or locomotive bodies, .060" is good. For making buildings, there is a lot of textured styrene out there made by Plastruct or Evergreen sold in 8.5" x 11" sheets. Styrene can be "scored and snapped" to any size you want, and the cement used actually acts like a welding agent. It can be heated and bent to curves and will keep the shape.
Trackhead, are you going to cut up the plastic into little pieces for a coal load? Or are you going to use it to make a false bottom so you don't have to use so much coal. By the way, I found that aquarium gravel or the activated charcoal used in water softeners makes great looking coal.
Tom M., for your use, I'd suggest either .010" or possibly .005" thickness. But be very careful with cementing the very thin stuff. If you use too much cement, it can warp the sheet of plastic.
Here's some things I have made with the stuff: A car dealership, scratchbuilt Thomas, an AEM7 and an RDC:
Then, there's a series of downtown buildings (not quite finished yet on my layout)
Excuse the X-Wing fighter at the intersection and the Enterprise shuttle craft on the roof...
If you are going to do a LOT of buildng with it, I'd suggest finding a plastic supply house and buy it in large sheets. Here in the Detroit area, I found a place that sells a four FOOT by eight FOOT sheet of '060" styrene for around $30. Much cheaper than the hobby shops.