I do a lot of BCB DX and I use one of these. It works great and helps to null out the noise sources.
As far as the commercial loops go, I've always been mystified as to why they cost so much. It's not that difficult to make your own.
Sure thing!
Regarding your question about wire thickness - for receiving it shouldn't matter. In fact, those small loop antennas (link to an example) for the AM broadcast band are multi-turn loops of very thin wire and they work just fine.
If you want to transmit with this loop, wire is not ideal. The thickness of the big loop conductor plays an important part in the antenna's transmitting efficiency. The thicker the better. That's not to say that wire won't work, but it will not be as good as using pipe or tubing.