The successful and efficient production of parts with specific features by Wire + Arc Additive Manufacturing (WAAM) strongly depends on the selection of proper and typically interrelated deposition parameters. This task might be particularly challenging in the making of thin walls, which might be highly impacted by processing conditions and heat accumulation. In this context, this study aims at expanding the work envelope and optimizing the parametric conditions in WAAM with relative density and surface aspects of the preforms as quality constraints. The experimental approach was based on the deposition of thin Al5Mg walls by the CMT process on its standard welding setup and with an active cooling technique to enhance the deposition robustness. Internal voids were estimated by Archimedes’ method. The surface quality of the walls was assessed through the visual aspect and the surface waviness by cross-section analysis. All the conditions presented relative density higher than 98%. The upgrade of the standard welding hardware to WAAM purposes through the addition of a supplementary shielding gas nozzle to the torch and the intensity of the heat sinking from the part significantly expanded the process work envelope, with its applicability being successfully demonstrated with multi-objective optimization. To sum up, a decision-making procedure is presented towards achieving intended preform quality.