Insulated Headers

[new land owner]

could a person build their owns insulated headers?

I will be framing my walls with 2 x 6 material so I would build them by sandwiching 2x8's with 2.5" of rigid foam between, and top and bottom plates of 2 x 6. 

This would create a beam that I could cut into the sizes I would need.

Would this be strong enough and how much better insulating would I have by including the foam?

[MountainDon]

What would make a suitable header will depend on the opening width, if it is load bearing, if there is one or more stories height, the design snow loads and so on. More details would be required to say if the strength of what you proposed would be sufficient.