[upofadown]

From discussions on the Reddit cordcutters subreddit about TV reception, it seems that modern construction techniques do a pretty good job. Metal foil on solid insulation. Metal stucco mesh. Even metal films on the panes of newer insulating windows.

I suspect that this effect is also why cell phone reception is so bad in some houses. We are kind of working at cross purposes here...

>...does it require sheets of thick metal?

No but things work better when the edges of the sheets are electrically connected. Ideally you want a contiguous box with filters on any wiring crossing the box. Depending on the frequency you can get away with a mesh with openings that are sufficiently small.