I haven't made vac-form canopies, as vac-forming machines, although relatively simple, are fairly expensive in the UK - for domestic use anyway. But I have often made canopies by heat forming, which is a similar process, only without the vacuum frame. I just use clear plastic sheet, available from model shops, alongside the normal white styrene sheet, and is in various gauges. I also save suitable sizes of clear sheet from packaging materials, given that it's not too thin. The thicknesses used vary, depending on the size, and scale, of the canopy, but are generally around the 0.5mm to 0.75mm gauge.
Remember though, that where the canopy or part forms, it will get thinner, especially at the extremes, for example, on the very top, and at the curving edges, of a Typhoon canopy. therefore, it's a good idea to use a thickness which will cope with the forming without pulling too thin and going 'floppy'!