Either graphite or carbon steel (not stainless) can be used for the sacrificial anodes. Scrap steel anodes are cheaper but more messy. Graphite anodes are cleaner. I'll try steel when my graphite is used up.

One advantage of steel sheets is you can have a lot of area easily and cheaply. Bolts wouldn't seem to have much area and might not work well with big parts. The areas of the cathodes and anodes are important for the process and a function of amperage draw.