When I first bought my wife's WRX, I was worried about rocks denting the fins on the intercooler. I went to home depot, found a roll of wire mesh (the smallest hole size I could find), then cut two pieces to overlap holes (reducing each hole into quarters). Cut the mesh so it is just as tall as the intercooler, but cut it wide enough to have an extra inch on either side. I was able to place it on the intercooler, and crimp the sides so it held itself on, and I didn't have to drill any holes.
I think I spent less than $10 on mesh, and have plenty left over for my STi.
PS We looked at a used WRX with 4000 mi on it at the same time we got hers, and it had at least 10 fins bent from rocks and road debris. Those fins are very delicate.