I just did this - I removed the glazing units, put roof seal around the
outside of the frame and then screwed on a sheet of exterior plywood.
Then applied aother layer of roof seal to entire outside surface of the
plywood, and embedded aluminum flashing onto that layer. The flashing
comes in 18 inch wide rolls so is perfect width and cheap. Then gooped
around the edges of the outside with more roof seal. Then the inside,
filled the entire hole with r5 polystryrene, which gives about r60! I
think batts would be fine but with polystyrene there is nothing to hold
moisture - drywalling is next.

David