The thickness of the sheathing materials you must use is noted on your building plan. If it says 1/2 inch plywood, you must use 1/2 inch thick sheets.
What should you use? Now, here you do have a choice.
Plywood or OSB (oriented strand board) sheathing makes very little difference in which to use. I used plywood sheathing for the subfloor for the longest time, but OSB floor sheathing has improved, and you can use it as a substitute for plywood. There is no problem on a wall; either will do the job. Just make sure that you get good-quality sheets.
Minimum thickness of wall sheathing for use on walls: 3/8" plywood or 5/16" OSB. Using fibre cement siding, use 1/2" plywood or 7/16" OSB for the exterior walls. The wall sheathing can be nailed or stapled (check your local building code). Use 3-inch spacing, 16 nails or staples for the edge rows and a 6-inch spacing of the fasteners for the inside rows, nine nails or staples. Nailing like this may seem a bit excessive, but this makes for a strong home, able to withstand most of the forces that nature throws at you.
In addition to fastening the sheathing into the studs, add two nails or staples between the stud spacing in the top and bottom plates.
These nails placed in the plates between the studs will do more than the others. They make for a strong wall that will keep the building plumb. That is, assuming you levelled or squared your wall properly before fastening the sheathing.
The minimum thickness for roof sheathing is 7/16" OSB or 1/2" plywood for rafters and trusses 16 and 24 inches O.C.
Roof sheathing can be nailed or stapled.
Nail or staple sheets with 6-inch spacing for the inside rows and 3-inch spacing for the edge rows. Use three nails or staples in the sub fascia and ridge blocking between the trusses.
Two 1/4-inch box or common nails or 2-inch gun nails (the spiral ones are excellent), 7/16" crown 1-3/4" Leg, 15 Ga staples.
Using staples to fasten plywood is not allowed in all regions. Check your local building code before you start.
As a plus, staples are much cheaper than nails, and using the right size compressor is much faster to apply than nails. The one negative thing to say about using staples is that it is very messy if you have to take things apart if you need to change things.