The standard metal hobby supplier (K&S Metals) supplies brass shim material: see stock #258 at http://www.ksmetals.com/30.html . I can pick that item are my local hobby or craft stores. If you Google "brass shim stock" you will also see a long list of possible suppliers (many on Amazon).
To be honest, I don't think you would be able to tell the difference in the foot-boards made of 0.005" or 0.003" brass.
Peter's
@peteski got it right. That's what I purchase and I don't have a problem finding it.
Although visually you may not be able to tell much of a difference between .005" & .003", there's a big difference in the way it bends. The .003" stock bends MUCH easier than the .005" stock, especially when there's not much to hang on to as the shallow "ears" on the steps would be. Also, the .003" stock can easily be cut with new, sharp scissors...just scribe a line and cut using that as a reference, and with a little practice, you can hold right to that line, cleaning up the cut with a flat, fine jeweler's file with a few strokes.
Personally, I'm a big fan of using brass to fabricate model parts, but I'm not adverse to using paper for prototype mockups and feasibility experiments.
Cheerio!
Bob Gilmore