The Browning Prosteel referenced above has 12GA body steel; so clearly that isn't enough. I've read you need 10GA at a minimum, but I can't imagine that sawing through 10GA with a diamond blade would be too much harder than as with 12GA.
I was wrong about the AMSEC BF having a 1/4" door; I just checked and it is actually 1/2". However the body walls are only 1/8" (~11 GA). The key has got to be to make it as difficult as possible for the thief to get sawing access to those walls, and force them to enter through that 1/2" thick door, such as placing it in a tight cupboard, up against concrete walls, etc.
I may be too paranoid, but I was also leery of buying something from Costco or online, because I didn't want some unknown guys in a truck delivering the safe to my door; A) Because I wanted it kept quiet from my neighbors, and B) Disreputable delivery people would now know you have a certain type of safe into the house, and could wait until you go away for work or the weekend, and hack at it at their leisure. It cost more to deliver and setup (~$250), but I bought from an established, bonded local security company with their own dedicated delivery people; that's not perfect, but better than the alternative I guess.