Hi Eddy,
Very strange your new steering column has a 17mm outside diameter. Is it from a Sierra ? Anyway, if the tube you bought has a 20mm outside diam with 3mm thick walls, the inside diameter is 14mm. That should be too small anyway to fit on a "normal" Sierra column which is 9/16'' (14,29mm). I think 15mm inside diameter would have been the way to go.
If I had been you, I would have used the first (old) steering column. I would have cut it anywhere above and under the central UJ as Alga says, keeping in mind you want to leave enough length to guide the column inside the tube to keep it straight. I would have used a 3 to 5mm thick wall, 15mm inside diameter seamless tube for the extension.
Are you sure you can not force the tube you already have on this column? It would be worth to try I think. Or perhaps you can find a 9/16'' or 15mm drill and machine the inside diameter on its length.
If you think it is too late for that, you have to find another extension tube to fit the new column which has a 17mm outside diam. To answer your question, I would NOT use 2mm walls, in my opinion, it is too thin. 3mm should be the minimum, 5mm might sound overkilling, but on the safe side. Also, better buying a seamless kind of tube.
Hope this will help
Good luck.