Heat treat for Oil or Air hardening tool steels is going to be on the order of dollars/hundreds -- independent of the material choice a go/no go at .0005" is going to have to be ground, your largest cost for producing your gauge. What is the basic diameter?
Pre-Hardened drill rod can work, just get it big enough over the basic diameter, OD grind/polish one end to your max, and the other end to the min. Paint a Red stripe, and a green stripe on it. Heat shrink a label at the center handle section.
It really is that simple and that's likely your lowest cost option, anything else is likely more. (Except just buying gauge pins and a handle)
Nick