The material I used is Prodex Reflective Insulation. It's advertised with a Class A/Class 1 Fire Rating. I mainly used it for sound insulation though. I lined my garage doors with it too and it made huge difference in blocking street noise and radiant heat.
Using wood for the gen shed is not a good idea IMO. There are kits out there for this purpose. I installed a small metal shed and used this kit http://www.nooutage.com/powershelterkitii.htm . It consist of a 16"x24" motorized louvered intake shutter and a 16" square louvered exhaust with an...
Exhaust welding band clamps can be purchased or easily made. Summit has different sizes.
http://www.summitracing.com/search/part-type/exhaust-welding-clamps?kr=Exhaust%20Welding%20Clamp&SortBy=None&SortOrder=Ascending