Altering the thickness of the headgasket will either increase (thicker) or decrease (thinner) the compression ratio. The saxo is fairly high as standard, hence it responds well to it's tuning mods and can become a very efficient engine when mapped well.
I would neither increase now reduce the compression ratio since 10.4:1 is pretty much ideal.
Furthermore, with a different head-gasket, the cam timing will alter since the distance between the top and bottom pulleys will change, therefore the dowels won't be in the right place. Pedantic, and maybe negligible, but a point worth making still!
Go steel by all means, but keep the thickness the same
Andy