Congrats on taking the first step!

First question, which weight class are you planning on building? If you're looking at Beetleweight then 5-10mm HDPE is appropriate. If you are planning on Featherweight, then 10-20mm is probably better suited.

With regards to working with/fixing HDPE, it machines very similar to wood. Wood screws are pretty standard, but worth noting that HDPE doesn't hold a thread well, so if you're planning on undoing certain panels frequently then you will need threaded inserts or barrel bolts. If you're still finding it is too thin, then nutstrip and angle brackets will work too.

Would you mind sharing some pictures of the design you had in mind? May give some idea on how best to mount it.