what are the conditions?temperature,pressure?
Size range of the particles you want to pick up?
Do you want to know when the magnet is fully covered ?

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Assuming you need a good effectiveness in catching the iron debris, the casing thickness should be as thin as possible (more like a cladding).
It is anyway not clear why you would ask for such a high yield, that is quite out of reach for stainless steels in welded construction, but can be attained with bolting materials.

prex
http://www.xcalcs.com : Online tools for structural design
http://www.megamag.it : Magnetic brakes for fun rides
http://www.levitans.com : Air bearing pads

nbucska - The temperature can be ahigh as 400 F and pressure up to 15000 psi. The particles are just junk downhole so will be various sizes. The magnet just needs to be as powerful as possible. There is no way to know if the magnet has retrieved anything.

prex-The bottom of the housing will be approx 1/16" thick (air gap basically). The strength is for a threaded connection on top used to connect this tool to other downhole tools. There is no welding necessary on this tool.

80 ksi is anyway difficult to reach with austenitics, except for small size cold worked bars and strips: you should check with a supplier for availability and sizes.
Also Ni superalloys are good candidates, but there too cold working (with size limitations) would be necessary to reach that yield.
Titanium alloys are also an alternative to be considered.

prex
http://www.xcalcs.com : Online tools for structural design
http://www.megamag.it : Magnetic brakes for fun rides
http://www.levitans.com : Air bearing pads

You also need something that will be very non-ferromagnetic.
My first thought is 21-6-9.  This is an austenitic grade that commonly make in tubing and we cold draw it to high strength.  However this would have to be custom made for you.  
Since you don't need a lot of material it may end up being availability that drives your selection.
The aircraft industry uses a lot of light wall 625 tubing.  This would give you all of the strength and corrosion resistance that you could want, and it might be available from one of the specialty distributors (like TW or Future).

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believe there are a number of magnetic junk catchers on the market. that said use of non-magnetic materials is not manditory, though it depends on your design specifics