According to Michael Melkin, creator of the tutorial:

The first thought screen helmets were made in 1998 and used aluminum foil. They were sent to an investigator in Iowa. The investigator reported that one user tried it for a short time with no results...

In 2007 several thought screen helmets were made with ten and twelve sheets of Velostat. Although eight sheets of Velostat are adequate telepathic shielding in most cases, some abductees state that they had a headache or felt nauseous with that level of protection. This situation may indicate that the aliens have increased the power of their telepathic transmission, especially when they directly confront their victims, but the signal remains scrambled by the Velostat.

It's important to gather empirical results.

A very early reference to this idea comes to us from Philip K. Dick, who wrote about it in his 1955 short story The Hood Maker (also published as Immunity).

He had done nothing disloyal. Nothing, except open the morning mail, find the hood, deliberate about it, and finally put it on...

...Should he wear it? He had never done anything. He had nothing to hide - nothing disloyal to the Union. But the thought fascinated him. If he wore the hood his mind would be his own. Nobody could look into it. His mind would be long to him again..
(Read more about Philip K. Dick's Probe Screen Hood)

Update 16-Mar-2025: It turns out that the tin foil hat idea was almost certainly originated by Julian Huxley in The Tissue-Culture King, by Julian Huxley, published by Amazing Stories in 1927:

"...we had discovered that metal was relatively impervious to the telepathic effect, and had prepared for ourselves a sort of tin pulpit, behind which we could stand while conducting experiments. This, combined with caps of metal foil, enormously reduced the effects on ourselves.
(Read more about Julian Huxley's tin foil hat (tin pulpit))

End update.

One note for the craft maker; there are interesting new materials with as-yet unexplored properties:

• Optically Transparent Plastic Nanocomposites
  The structure of this artificial material called 'plastic steel' resembles that of the nacre found in seashells.
• Carbon Nanotube Speakers Are Flexible, Transparent
  In case you want to listen, it can be made into a superthin high-performance loudspeaker that emits sound in a wide-frequency range.
• Buckypaper To Go Commercial Soon
  One of the strongest materials known, with an electrical conductivity like copper and greater thermal conductivity than diamond.
• Flexible Rigid Biopolymer Inspired By Sea Cucumbers
  It mimics the structure of sea cucumbers, which are able to change their skin from soft and flexible to hard and rigid (armor to protect them from predators).