Re. the walls. As Graham W has said, you want the air gap between the feather edge and the membrane, rather than between the membrane and the insulation.
If you use loose fill type insulation such as glass fibre or sheep's wool, you will need something rigid to stop it falling forward against the cladding. If you use an insulating board then you won't need this. Try looking at the Lime putty, mortars, plasters and limewash at unbeatable prices supplied by Mike Wye & Associates. - they have quite a range of breathable sheet insulation ranging from cork board to their diffutherm boards. I have found them very helpful and places like Buildbase and Jewsons can order their products in.
Sterling board or WBP ply (which is exterior rather than marine) would be interchangeable. Both of them are there to form a rigid base, rather than provide the insulation. I would put one of these over the top of a layer of insulation such as Kingspan or Celotex.
From personal experience, it is a lot quicker to install sheet materials as a continuous layer than to infill between panels. You also then don't need the ply layer on the outside to keep it in place (although you will on the roof unless you go for the suggested box profile roofing). Sheet insulation over the outside of the structure, with battens over, nailed straight through both into the frame creates the airgap. I'll see if I have pictures of this from when I did my extension roof.
The point about Kingspan type sheets being much higher performance and that you will lose the heat faster through the doors and windows is well made, however the relevant number is its lambda value, which is thermal conductivity. The less conductive the material, the thinner you can go for the same performance. Roughly, fibreglass is .045, sheep's wool is .042, Kingspan or similar is .02. This means that 50mm of fibreglass would be equivalent to 30mm of Kingspan for the same performance (for comparison, I used aerogel insulation which gives the same value with only 15mm). These figures are simplified, but you can see that for small quantities at lower thicknesses it can work out cost effective to use higher performance material to simplify the installation. If you do go for Kingspan or Celotex (different manufacturers of the same thing) you can buy seconds at about half the price of new, which works out reasonably cost effective. I reckon, depending on the roof pitch, you could get away with three sheets for the roof which would be about £25 all in for 30mm boards. Breathable insulating boards will be more as you won't find them so easily as seconds.
Hope this helps!
Alec