Why would you have liked to go with thicker plexi? Ridgidity? If so, have you thought of acetone'ing some ribs in? That's comonly done in large acrylic/plexi aquariums to good effect.
I'm definitely going to have to copy this. I hate messes and I'm sensitive to chemicals. What coolant are you using btw? Any problems with bacterial growth? I understand from some guys on PM that a lot of coolants have problems when there's much iron/steel cut.