I use the mesh grids. Back when I used shavings for bedding, they were WONDERFUL at keeping the mess inside.
Truthfully, though, you'd probably come out a lot cheaper switching to fleece for bedding. This way, there really isn't any mess to kick out in the first place!
I think you're thinking about plexiglass. But even with an open topped topped cage, they still won't get as much air flow...