The downside of adding heat capacity, of course, is the added time and energy to preheat the thing. I have a 1/2" thick steel (weighs around 32 lbs) and it takes my oven at least 75 minutes to preheat it to 550°F.
If you not extra heat capacity (which has been shown to make a big difference when baking multiple pizzas back-to-back, but a very minor difference when baking a single one) the simplest way to get it is with a thicker steel. You maintain the conductivity of the metal all the way through, you have a blackened surface on both sides to absorb radiant heat, and no issues of transferring heat from one piece to another.
You can buy steel in whatever thickness you and your oven rack can manage. My advice to most people would be 3/8". That strikes a nice balance. 1/2" is fine if everyone who's going to deal with it has a strong back. If you have big pizza parties and steel-toed shoes, maybe 5/8" would make sense (never heard of anyone using it, though). None of them should be left in the oven full-time.
