[cabmandone]

Post some pics of what you're dealing with and I might be able to come up with some ideas. Initial thought is use some premium pine boards for the jambs. Frame doors with 1x3 premium lumber and insulate with 3/4" foam board in the center of the frame. Use another 3/4 piece of foam with the foil facing as the interior "facing". This should give you around R-9 I think. Put paintable birch on the side facing out into the room or closet. For the door stop I'd go with a premium 1/2" thick board using a router or run it through a table saw to give yourself a gap to put weather stripping in. If you're not sure what I'm talking about, look at your front door and how the piece that acts as the door stop is cut to allow for weather stripping.