No, I do mean use cold rolled, I never have problems machining it.
Have you priced up the size of gauge plate you require John? It usually comes from the manufacturer in standard sizes, so it isn't a matter of just getting a piece from somewhere. It is usually megabucks per piece over a certain thickness, and maybe be prepared to pay for it by the square centimetre or inch.
If the metal supplier is any good, he should be able to bandsaw a piece of normal steel sheet for you, that way there should be no deformation.
Remember John, you are adding to the height of the cross slide by using a piece of plate on the top, so I would recommend going no thicker than 1/2", otherwise you might run into clearance, height and centre problems. It is sometimes a bit tight with nothing on there.
As long as you are not a gorilla with four foot arms, using spanners with 3ft handles, I shouldn't see you having problems getting well cut threads to hold in 1/2" thick ali. As long as you spead the load correctly with washers or shouldered bolts, with no side loading.
Bogs
Don't worry Bernd, it is better if we both confirm the same thing.