Besides
http://www.waynecoeartistblacksmith.com ... plies.html as Thomas mentioned, I suggest also studying anvilfire on this topic.
http://anvilfire.com/FAQs/gas_forges.htm
Also keep always in mind what you want to do with the forge: If you want to make swords you won't get happy with a forge with a wide opening and low depth but you want a narrow and long one, especially for the heat treating in the end - often these are made from firebricks with several burners. If you want to make plate armor you won't want one that is long and narrow but one where you can heat substantial parts of the plate at once and might not even have solid sides (like the
Eric Thing style sheet metal forge). There is no "one size/shape fits all", but the most often seen designs (the gas bottle & its variants) are for "general use". That is for work which limits the size to a 'small' scale.
But just my two cents on fuel efficiency: Yes, some material IS much more efficient because it has a lower thermal conductivity coefficient (k), but any additional thickness (x) is also reducing the thermal energy flow according to
Fourier's law. It states that thermal energy transfer through a material in Watt/m² (power/surface area) is the negative of the materials conductivity coefficient times gradient of the temperature. (The gradient of the temperature is the change of the temperature over distance). If you go high physics: q=-k grad(T). Usually, we (as in Physics students) use grad(T)=dT/dx, the derivate of the temperature after the dimension x, as a one-dimensional simplification. This usually becomes "transmitted energy is material coefficient times area times temperature difference divided by thickness" (E=-kA ΔT/Δx) for school - Δ as in taking the simple difference between inner and outer sides.
TL;DR: If you can live with a more bulky forge, the cheaper material lining can be made just as efficient, as long as you make it considerably thicker. The more bulky build has other downsides: it is heavy, it is larger or has a smaller interior (or both) and it might have other problems (like cracking or not drying properly to name just two). But on the other hand: additional bulk also adds stability.