First off, homemade screens do work. Second, if you haven't thought about it yet, use an electric knife to 'carve' your screens. It works great. Finally, err on the side of thick rather than thin. Thinner screens might still let the wind through and well, in my opinion, any wind noise is a ruined recording so it's almost the same as having nothing at all. Finally, since they're homemade you can do some testing. Make a small one and try it out by hitting 'record' and then holding a room fan set on high up to the screens. If all you hear is the fan motor, you're golden! If you hear the dreaded gusty wind noise, then make another one a little bit bigger. Once you get one to the right size, make a second one the same size!
Hint, you need at least 1/2 inch of foam as your starting point and I'd bet you'll end up with probably an inch or more. These tiny screens that fit over mics are pretty useless in the wind.
Regarding your question about leaving an air space around the mic...yeah, I guess the best designed pro quality screens do that, but for something homemade, I wouldn't worry about it.