I was advised strongly against putting any mesh at all in front of mine, but being a D40, I have an auto gearbox cooler, intercooler, air con condensor and the radiator all in the one spot.
And out in the desert, pulling 1.8T up a long incline, it did get a little warmer than normal - without any screen in place. I was concerned about damage from stones etc too, but I think there's too much cooling needed for the D40s. You might be able to get away with it.
Someone here put some mesh over the air intake. They sell them for Imprezas, there's a thread in here somewhere that had a link to the place that sold them. It can obviously be done, how much it reduces the efficiency of the intercooler I couldn't say, but really it'd have to be a freak rock to bounce in and do any damage.