If you read the full write-up of the build, you'll see I made a just such a cover for the X-axis drive pulley.
I had it off to swap the drives, and left it off so I can see the pulley turn as I'm testing the new motors.
No, I've never done vacuum forming- at least, not outside of high school art class.
My only real concern at the moment is coolant. The Y-axis screw is pretty well protected, and the cross-slide itself is wider than the saddle casting so it acts as it's own drip rail. But the stepper and drive, while "enclosed" is not necessarily water-tight, and there's no particularly easy way to make it so.
I do plan on making production-run parts on this thing, so coolant and at least a rudimentary splash enclosure is almost a requirement, but I'll have to figure out some way to seal the drive to keep water out of the belt, bearings and motor.
As for the electronics, as noted in the earlier post and in the write-up pages, the plywood is just temporary- I figured I'd be moving things around, and didn't want to keep drilling and tapping a bunch of semi-random holes in a box or aluminum mounting plate.
I have a suitable enclosure now, and apart from possibly swapping one power supply (one unit that takes the place of the two smaller ones) I believe that's pretty much the final configuration. I'll be swapping it all over before too long.