More thoughts... if using bricks, most any ceramic supply store will
sell "kiln cement" for bonding bricks together. Many potters just
stack the bricks w/o cement, though there is a more heat loss. An
advantage of bricks over ceramic fiber is that they have some thermal
capacity, so the temperature is more uniform in the kiln and it
naturally cools slowly (if that is important) w/o having to ramp the
temp down w/ the controller. Thus a common simple kiln is to stack
bricks to make a square chimney, then use ceramic fiber for the roof.

Yes, soft bricks are very soft (there are both "soft bricks" and "hard
bricks") -- they cut nicely on a bandsaw and can be grooved w/ a razor
blade or the like. If you have some used bricks, use a dust mask when
cutting as the dust from a previously fired brick can be hazardous.

On the thermocouple, it does matter how much of it is in the kiln
(uniformity and conduction losses). Most kilns put them between 3" and
5" in. Whatever you use, keep it consistent between firings so the
controller is consistent. Enclosed TCs are better for longevity (note
they have a more delayed response, though). An unenclosed TC is ~$15
from a ceramics store.

Omega controllers are good, though note Omega makes very little
themselves. Some other companies (who generally make their
controllers, or make them w/ Omega's name on them) are Newport,
Parlow/West, Watlow, Omron, Eurotherm, Yokogawa, Honeywell. ebay
prices go down to $10 for a traditional PID controller (which work fine
tho some tuning of the PID parameters is needed). If you want
multi-step ramp-soak programmable, $60-$100. Most ~newer ones do
simple ramp-to-setpoint and some have fuzzy logic in addition to the
PID. Some have autotune or learn modes, tho it isn't essential and can
be inaccurate. Here's a good primer for manual tuning:
http://www.newportus.com/Products/Techncal/techncal.htm
In my experience the "Simplified Tuning Procedure" at the end works
great, so long as you start the step-input w/ the kiln already at
~1000F. Note that the PID parameters change as the kiln temp changes
(heat loss rate is different), but if you tune it around 1000F it will
hold +/- 1 degree at all but the very lowest temps.