I've built several speaker grills in the past. I used poplar for the frame with lap joints at the corners and depending on the speaker outer case, I either left the corners and edges square for a flush setup or when the grill was full-face, I usually rounded off the inner and outer corners to minimize phase and edge diffraction effects. Good quality grill cloth stretched and stapled over the frame finished very nicely.
In addition to magnets, standard speaker pegs like Parts Express sells work well for holding everything in place without adding any extra depth.