Before embarking on construction of protective structures out of osmium, it would be advisable to have a plan to counteract the metal's distressing tendency to contaminate proximate air via cumulatively-toxic heavy-metal outgassing. Yes, osmium evaporates at room temperature: more precisely, it oxidizes, and the oxide is gaseous.
Iridium is almost as dense as osmium (and might be more dense), is not known to evaporate in air, and is much cheaper. Gold, though less dense, is overwhelmingly more ductile, and more prone to be made off with than to evaporate. Little has been openly published about gold-iridium alloys.