Another idea for sleeve material.
I like the sleeve method; the one thing I didn't like was at the ends of the sleeve I found the wrapped lights would come off. I did find some 1" thin walled and flexible black tubing used for sump pumps etc. This seems work very well. It has "ridges" (that always makes things better) very similar to the 3" and 4" drainage pipe. I find these to be helpful keeping the lights on the sleeve. In addition, it is very flexible and there appears to be less force needed to bend the arch into place.
I too have thought about replacing my strings with rectangular square SS. I'm think 4 squares per 13" segment would work nicely. I wanted to make the marty fan this year as well and I think if I used the segment approach I can get the SS lights to create sections to match the fan underneath. If I can't get a good enough "break" between sections I was thinking of diffusing the light on the arch by encasing it in white plastic dryer venting. I'm gonna have to try several different setups to find what I like.