skin depth a requirement inside waveguide

If we are making a waveguide using hollow rectangular dielectric material outside and metal lining inside, do we need to consider 4-5 times skin depth for the metal lining thickness?

yes, of course. but the inner layer has the most current flow, so you can use different types of metals, where the most conductive is the innermost surface and still get decent loss

4-5 times the skin depth for the metal you are using should be ample, remember Al has a much greater skin thickness (or depth) than say copper or gold...

Skin depth of aluminimum and gold are about the same.

Copper conductivity 5.8e7 S/m, relative skin depth 100%
Gold conductivity 4.09e7 S/m, relative skin depth 119%
Aluminium conductivity 3.72e7 S/m, relative skin depth 125%