Like most people who have started making their own gas checks, I started by using roof flashing of he right thickness. Yes roof flashing does work but recently I ran out of flashing material and thought I would try the coils of aluminum sold by "Coil & Foil Supplies" http://www.coilandfoil.com/. I placed the order and a few days later the coils showed up.
I use a Freechex III in a small drill press for forming my checks and while using the new coils I discovered right away that they are softer and more malleable than the roof flashing and this makes it easier to use in my drill press. I would highly recommend "Coil and Foil's" products.
Ken