I am currently in the same boat. I don't think I've got the material or method down pat 100%, but the material and the tools at your disposal are big determining factors.
A lot of clip makes I've seen use either nickel silver or brass. They are relatively soft and therefore must be thicker to avoid getting bent. Steel is stronger, but also makes it more difficult to finesse into the size/shape you want. It still may also be susceptible to getting bent without certain a certain variety of steel and hardening procedures.
I played around with some 20 gauge 304 stainless and got something like this:
Not perfect, but I'm getting there. I ordered some samples of nickel silver to try and we'll see how that goes.