How to build and insulate a wall over brick?

I am living in a brick ex-factory. I'm the width of the brick from outside, and I want to build and insulate a wall over the brick. Is framing, building and insulating a wall the best way to do it, or should I just hang the drywall on the brick? Also, if I was to sheetrock the ceiling, do I do this before building the walls? Thank you