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I’ve been using this. Not real sure of the thickness but they do have other thickness options. And probably on the pricier side but I like it.
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Not sure about the comic book bags, but don't tape anything to your books. The covers should stay on just fine.

I would be worried about damaging the dust jacket or the top and bottom of the spine like Brian said. I would also like to have easy access to the book. If you want to get at a shrink-wrapped copy...

A lot of people actually use archival bags like those used for comic books for there soft and hardcover books. I think they would be safer then shrink wrapping books.