I just made a pair myself using mild steel and heat colored them a dark blue and they rust much too easily. Stainless is probably a better way to go.
I think I'd want a 400 (410-420 or something) series steel though as you really don't want them to bend easily. I made mine quite a bit heavier than most are being mild steel and I'm still not quite happy with how stiff the bands are. They are fine for riding but if they get something thrown on top of them the right way in the tack box they will bend some.
The problem with stainless for me is I'm not sure about the welding. I have a stick welder that will do it, but so far the rod I have found seems to be for 300 series steels. I'm not sure how well it would weld, and what the finish would look like anywhere you ran a bead