Try using the lofted bends command. There is a good description in the help. Look up Lofted Bends in the help menu.
Basically you are creating a thin feature loft. You create two open sketches. In your case, two circles with a small gap. The circles are concentric and on two seperate planes. The go to INSERT> SHEETMETAL> LOFTED BENDS>. You can then input your mat'l thickness and viola its done.