Well I would not recommend doing that. If I were you and you want to do it right I would remove all the wall material down to the studs.If there are no studs as you had said "attach to the masonary" I would really frame out the walls and insualte the walls. Yes you will have to extend all the jambs unless you replace all of them also. As far as I know 3/8" is as small of gyp. board they make. Good luck