Simon, I've bent cones out of thin galvanized and it's quite easily flexible and stays at least as straight as aluminum.
I've even flame welded butt seams together of the non galvanized stuff into cones back in my pulsejet days. But pop rivets work fine.
I haven't experienced it denting when rolling into a cone by hand. You need the right gauge though -- somewhere between easy to dent and hard to roll -- but that's a pretty big range and common, since that's also the size needed for making ducting, and stovepipe, and , well, cyclones.
I bet if you visit a sheet metal/ductwork shop, and tell them you want to make it yourself just for the experience of it, they'll sell you the material, and give you helpful advice on rolling it.
