Thermoplastic is really any plastic that can be formed through heat. Some of the popular ones are styrene (solid, not like the foam), acrylic, lexan and ABS. I wouldn't recommend styrene, mainly because it cracks easily and I'm not sure how it would hold up to being mounted on a wheel. Acrylic is slightly better, but ABS would probably work the best.
I recommend checking out
McMaster-Carr for materials, but only if you live near where their distribution centers are, since the shipping is usually the most expensive part of the bill if you're buying anything larger than a couple square feet.