I routinely use .005" brass sheet on my locos, and have never had an ounce of trouble with them warping. I use them for boiler jacket material, and as a wrapper around the smokebox. You'll be fine.
One word of caution: I recently tried Krylon's bar-b-que paint, which they advertise doesn't need primer. Don't believe it for a minute. The paint flaked away with only the slightest provocation. I took all of that off, and repainted with regular primer, then a coat of regular black paint, as I've done on my other locos without problem. That worked far, far better.
Lesson: Stick with what works.
Later,
K