Adam,
I'm on version 18 and I'm trying to remember when they changed the menus, but here are the two options.
1. For version 18 and probably 17, go to Tools, Material Table and a dialogue box will come up with two tabs - one is for the type of material and the other tab is for the gauge. The gauge tab will have a pull down menu with various thicknesses. If you don't see one you like, you can type over the values. You can also edit bend radii and relief values.
2. On earlier versions, under Tools, Options there is a tab for material thickness that has basically the same info as the gauge tab from option 1.
Hope this helps.
Kyle