George,
You are correct, the air space must be well sealed (I caulked mine). It's about 1/2" deep. Be wary of fiberglass, unless it uses an acrylic binder. Off gassing of the "pink" stuff can be fatal to bees (the binder is formaldehyde based). Fiberglass is also prone to mold growth. Your best bet is rigid foam, foil bubble duct wrap, thick wood or plain old air.

Kris