Make it strong and secure. Iguanas love to escape. I had an iguana escape and it had to be chased across trees, rooftops, and telephone lines. Now he lives with a lady in South TX.
Avoid Chicken wire because Iguana toes get caught and then amputated in the corners of chicken wire. Try to get the plastic-coated Hardware Cloth. It costs a bit more but it is good stuff if you can find it. Try Lowes or Home Depot.