4130 should be TIG welded. Before there was TIG, they used Oxy. Because of the dense nature of 4130 it can be difficult to weld with a MIG and get the proper penetration of the welds. If you do TIG and you use high strength alloy rod you need to heat treat it or the welds will crack under stress. You can TIG 4130 with a standard welding rod, and it will not be required to be heat treated.
As far as material goes. 1.5" x .095 DOM would do just fine. As stated, current cages are 1.75" diameter, so many people just use 1.75 x.095 or .120 wall. You DON'T need .120 wall for a cage on a RZR, it just adds more weight and for the overall weight of the vehicle doesn't add enough extra strength. The key though is cost. I know that my steel distributor stocks 1.75x.120, but has to special order 1.75x.095 which actually costs more than the .120 wall. I actually am planning on building my cage from 1.5x.120 just for that reason.