In my race car cages I use .120" when doing mild steel ir DOM. .080" is perfect for chromoly, but remember that chromoly is stronger to start with so the wall thickness can be thinner. Mild steel might not hold up to a hard roll over impact at .080" thick, but again I am refering to heavier vehicles and highet speeds.
.095 is a great thickness for UTV parts. You could probably get away with .083 but it will most likely dent what ever you hit with it. Worst case make the main runners out of .120 and all the straight sections in the Cage can be .083
I think the diameter of the tube plays a roll in how thick also. Some people build cages with 1.5" but it seems the popular is 1.75" and usually is required in some racing. So if you are using 1.75", I would think .095 would be sufficient, but 1.5" and you may want to consider .120 in some areas.
I had some leftover 1.5" .120 so I built a bumper out of it. It does seem quite heavier then .095 like todd918 said. Probably a little overkill but now I can use it as a push bar and not just a bumper haha