I used 3/4" MDF and sprayed it black so it would blend in. I did not buy a whole sheet, I bought I think a shelf for about $8 at home depot. That was enough to make all 4 doors and have some left in case I messed something up on one.
For speaker adapters, it doesn't matter a whole lot... the thickness is important when making a sealed enclosure (or any box for that matter). As an adapter, you are primarily concerned with mounting your speakers. Although, with most applications, the thicker the better, but with an adapter, after 1/2" you are pretty close to reaching the point of deminishing returns.
The thickness of the MDF depends on the mounting depth of your speaker. If you can clear the window track behind the speaker with a 1/2" adapter, then you'll be fine. If not you'll need to go a little thicker, like 3/4" and then a 1/2" mounting ring.
I've always just primed and painted my baffles to seal them up.
There is a big advantage in using a dense material for your baffles...............the same reason a dense material is better for box building. That's why MDF is a popular choice. It's cheap, easy to machine/cut and is very dense to help eliminate any resonance or vibration.