Nice work PEG. Very clear explanation and good graphics.
I think I'll bookmark this for others as it is something that comes up with any house and the books aren't always as clear as this.
One option to what PEG is doing is to build a sandwich header with the foam insulation between the the two 2x's. Keep the bottom nailer to hold it all together. This sometimes helps where more nailing area is needed for drapes and other window treatments.
I will add some images we did for the Superinsulated Design and Construction
This single 2x12 header can often cover all the openings in a single story house and you do not have to mess with foam and can insulate normally.
This double 2x sandwich has a 1x6 at the bottom saving a tiny amount to conduction over a 2x6.