Plexi glass will expand more when heated and is more likely to warp than glass. I picked up a sheet this week and if I remember correctly plexiglass can expand to as much as 8 times more (it was talking about use in windows). Plexi glass is of course lighter, less likely to break, but more likely to scratch as compared to glass.

I'm not entirely sure which one would hold heat in better. You could cut grooves and then attatch thin slices of wood to hold the glass in, but i wouldn't recommend trying that. I get the feeling it would be hard to put together and keep from breaking (I've never tried to make sliding doors). Cutting grooves might still work though.