I used a coarse polypropylene mesh, actually the stuff that's used in the chemical industry to support the cloth on a pressure filter. As you might guess, I used to work in the chemical industry and it was "free".
20 years later and it still looks like new !
I think it's essential to have something there. The wheel throws up loads of spray, plus of course dirt and that'll make a real mess of the fins on a radiator. If I were doing it now I'd use woven stainless mesh, and probably two layers. The first knocks down most of the spray and the second gets what makes it through the outer layer.
Brian