Please read the gas forges section of the forum. It really will answer a lot of your questions.
For now, here's one key thing: there is a difference between refractory and insulation. Insulation (such as ceramic fiber/kaowool) prevents thermal transfer -- in other words, it keeps the heat inside the forge -- but usually isn't very strong. Refractory (such as Kast-O-Lite) tends to be a lot stronger and maintains its structural integrity at high temperatures, but doesn't insulate very well. Thus, a lot of folks here will build a forge with multiple layers: an inner layer of refractory (to withstand the heat of the forge and the inevitable knocks and bangs of workpieces being moved in and out) and an outer layer of insulation (to keep the heat in the forge), all contained within some kind of rigid shell.
I'm not a gas forge guy, but there are lots of folks here who are. Ask the right questions, and you'll get great information. If reading over the gas forges section doesn't answer your question (and I mean really reading it -- there is a TON of information scattered through the various question-and-comment threads), at least you'll know enough to ask much better questions.