How to insulate a window opening from the inside?

With our planned single house, we are slowly getting to the detailing. A friend of mine advised me to think about insulating the window opening.

It's clear to me that there is already special insulation available now so the stone sill won't be so cold. But what's the big deal about insulating an interior window opening? Reasonable? How can it be implemented? Have you heard of it before or maybe even upgraded it to DIY?

Let's hear what you think about it, because a window opening is definitely colder than a typical interior wall, and that shouldn't be a secret. A friend had problems with mold in his house in a relatively damp bedroom.