You aren't alone in wanting to insulate your run. I've discovered that if you've thought of something to do with chickens, other people with chickens have thought of it, too.
A good place to start is to update your profile with your location so we get an idea of what kind of climate you are dealing with- whether you're insulating against arctic cold or equator heat.
I have an enclosed run that has open air sides in summer and double sided plastic panels that I put up in winter to block out the worst of the blizzards and freezing wind. They are called Coroplast panels. I got them free, but you can get them on line or from Home Depot unless you live in the Sahara.