I'd insulate them in addition to what the coverings previously mentioned. I agree with you also about the ceiling and since the insulators will already be out there to do the ceiling, the walls shouldn't be much more of an expense.
For drywall, I'd use the drywall used in showers to preclude any moisture invasion or damage.
For drywall, I'd use the drywall used in showers to preclude any moisture invasion or damage.