Open the wall assembly dialog (Select a wall -> Type Properties -> Structure : Edit)
This is what you get. Here you can add and remove wall layers, attach materials to them, define the thickness and tell them to wrap (or not).

A few interesting things to keep in mind:

1. Anything between the 'Core Boundary' lines is supposed to be the supporting structure of the wall (like concrete, bricks, etc). Nothing else should be in here.
2. The materials used here define how the model looks in 3D but they can also be used to calculate costs etc. Use them wisely.
3. The function-filed has 5 different functions, or rather levels (the numbers in the [] ). The lower this number the higher the priority of this part of the wall when connecting with other walls. For example in a corner, a level 1 will always have priority over a level 2. When you have the same level in both walls, you can choose how the corner/intersection looks like.