Just make sure whatever enclosure you make leaves enough room to facilitate
repair and eventual replacment of the furnace. Don't build it so small that
they'd have to rip it apart to fix the furnance WHEN it eventually needs
repair! Look really carefully at how everything's attached and think about
what it'd take to replace it. No sense boxing it in so tightly that they
can't get to that ONE set of screws needed to pull it apart...

As for framing, if the wall's being attached at the top to the joists then
you can probably just frame around the ducts. There might be some sense in
moving a few things around but take care you don't negatively impact how the
system operates. As in, don't move, resize or re-route ducts without
knowning how it'll affect the airflow efficiencies and noise. But if the
ducting really runs in a way that's a big waste of space then have an HVAC
tech make suggestions on how to remedy the situation.

-Bill Kearney