It is NOT an old wives tale, the property of the material required is that it be ferromagnetic
http://en.wikipedia.org/wiki/Ferromagnetic. The success of the shielding is dependent on the material used and its thickness.
If a magnet will stick to it, that is a good start, however, it is not a foolproof method. In otherwords, one man's cookie sheet may not necessarily be like another man's cookie sheet.
Many metals can be used to form an alloy with which such things as cookie sheets can be made, so even if a magnet "sticks to it", it may not have enough ferromagnetic material to be effective for your application. Often aluminum will be a significant component of most metal consumer goods even if there is some iron in them as well. (aluminum is not ferromagnetic.)
Dedicated shielding material is expensive because it uses expensive metals such as cobalt, magnesium or nickel. BTW, most speakers sold as "shielded" do not use such expensive shielding materials. The dedicated shielding material is used in applications that must guarantee a certain level or degree of shielding such as in medical devices or in particular industrial applications where an errant magnetic field might wreak havoc to a particular manufacturing process etc.
When it comes to consumer goods such as speakers and CRT's, really bad things don't happen even if the shielding is not very good (in other words, no one dies, at worst, the CRT has a colour haze or ring.)
I personally would go to a hardware store and get some flat sheet metal (usually found in the heating section amongst all of the ductwork.) and then cut it to size to form a dedicated enclosure.
Good luck.
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