I guess in theroy it would be the same as having just wood on your wall wouldn't it? You insulate your wall, so I'd say why not insualte the door.
I've never really thought about it though?
But, the question would be how? Do you just adhere foam sheets to the door, or do you build a chanel that will accept the insulation "kits" out there?
I'd assume the wooden door holds in heat better than a metal door, so i'm not sure how much insualtion would be needed.
I'm interested in this as well , I have a building with a large wooden overhead door, but I don't use the building for anything, but that may change someday.
Sixball