Bad idea, if it WAS a "good idea" the MANUFACTURER WOULD HAVE PUT INSULATION THERE!
I don't know what you are calling a "combustion box" but there is NO combustion box in these furnaces..
The flame is BLOWN through a labyrinth of piping called the "heat exchanger", the heat exchanger keeps the flame and combustion products sealed from the inside air. The outside of the heat exchanger gives off the heat into the inside air blower..
The outside CASE portion of the furnace is COOLED by the INSIDE RETURN AIR supply. Cover the furnace CASE up with insulation will result in your furnace burner constantly tripping off due to the fan not being able to move enough air (IE you would have to increase fan CFM which means faster fan motor which will affect the burner fan)..
You CAN NOT "IMPROVE" the furnace efficiency without causing OTHER problems, please for your own safety don't be a cheapskate and worry about fuel usage..
