Checkout this link
http://www.bmw2002faq.com/component/option,com_forum/Itemid,50/page,viewtopic/t,285485/
Miller article on cage building
I am an electrician so I would mock-up with emt, but you could relly use anything as long as the outside radius is correct. You may want to do a "test" bend with the DOM to find the actual inside and outside bend radii and then you could mock the cage with brake line tubing or copper tubing. I would suggest something that is easily hand bent. It seems like the muffler pipe would be like building 2 cages.
Good Luck and let us know how it turns out. I am considering doing the same later this year
JB