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.

My home is sheet metal siding, metal roof ("metal buildings" standard cheap barn/shop type construction), with a 2 inch braided RF strap run along the base of the wall panels and to the house ground. We have many windows, and near those is the only place you can get any external radio signal.

My primary intent in building this way was to contain computer noise and be able to play with radio scanning using external antennas. It certainly worked for that. Its not a Faraday cage, but it's remarkably effective.

care to elaborate a bit more? Is that bag?