Ask for insulation material at the store, it's a special material. You can also use pieces of foam, or spray foam. You will of course need to sandwich whatever material you get between solid layers; one layer to the outside but also one on the inside (foam can disintegrate if not protected, and insulation material can cause rashes).

Keep in mind that insulation should go in all the walls as well as the floor and ceiling.

It's also important to raise the dog house off the ground so it's not in direct contact or it will leech heat like crazy. You can put it on anything, bricks, pieces of wood, just make sure it can't fall off when the dogs bounce in and out.

Moisture isolation is also important on the floor side, a layer of tarp would be good. Also some kind of mat or rug wouldn't go amiss on the floor.