Mj Phillips, The folks at Dragonheaters
Flue build part 1 use the clay flue pipes as an effective bell skin but advise to line them (in particular the first bell) with firebrick splits to prevent them from cracking from the thermal shock as Thomas pointed out.
The burn chamber (along with the riser) are meant to be very insulative and light in weight to keep the heat in for clean combustion whereas the chimney liners are dense and heavy which is what you want for your mass.
With that said, the
video which Graham posted shows a very small ratio of insulative material and lots of density from the clay and sand. A nice little DIY cooking stove to make on the cheap but not really something I would call insulative that a
rocket mass heater would need to burn cleanly at the temps that can now be reached more easily with ceramic fibre board/blankets. I have made several stoves like in the video before which taught me a lot about the dynamics of rocket stoves (and were fun to build) but found that they cracked terribly and started to crumble apart from the heat.