the thickness of the material, especially steel or aluminum, is not going to help insulate, so I would suggest going with some thin aluminum...cheaper and easier to work with.
If you want it removable, weld on some tabs and use Dzus fasteners or some other sort of 1/4 turn fastener system that is intended for sheet metal panels. I'm sure there are some panels that you wont remove in the summer, so those can be installed with pop rivets or bolted on (still removable, just not as easily). You could just weld some nuts in place and bolt every panel on, which would be considerable cheaper, but a bit of a PITA to remove and install the panels.
To insulate it, you can get some of the foam insulation sheets and cut them to size...would help keep some heat in and cold out, anyway.
Plexiglass will scratch up and look like shit, and be hard to see through before long.
If this is running and air cooled VW engine ,then you are stuck with either the exhaust heat exchanger, or some electric heaters. Electric will draw more current and be hard on the charging system, so that may need upgraded, but probably better then replacing the entire exhaust. You will need something for the windshield defrost, I doubt you will get enough heat to stay warm which could be a problem if your driving more then a few minutes at a time.
Wouldn't the front end be a bit light for winter driving?
I would suggest taking the money you would spend on this and just buy a cheap beater for the winter. At least then you wont necessarily freeze your ass off.