I had mine done years ago - I think it works - although I would say that I think it holds the heat in summer hot days too (now trying to work out how to stop the house heating up in summer). Other people are often suprised that we haven't got the heating on during the day in winter ... so it obviously traps some heat.
No damp problems.
We had it done a couple of years ago and it was well worth it. The heating bill dropped by about 50 pounds a year. The guys ("insulation installation technicians") drilled a few holes in the outer wall and pumped foam into the cavity. They were finished in a couple of hours. It might be worth asking whether you can get a grant from someone (local council?), what with it being all green and that. The only thing the foam-spouters were concerned about were vents in the walls. If there are any, they have to be sealed otherwise the foam oozes out and dribbles down yer Anaglypta.
Do it yourself. Just get a load fibreglass, and if you've got double-thickness walls, then it's easy, just stuff it down between 'em. If you haven't, it's a bit more difficult - but not much more, you're just going to need to nail it to the wall - and then whack a layer of plasterboard on top. If you called blokes in vans out to do it then that's all they'd do, so you might aswell save yourself the money. Don't fall into the temptation to compress it loads so you can stuff more in, 'cos then it doesn't trap as much air in it and isn't as insulative.
Oh, another tip - if you need to knock any bricks out, make sure you stand inside your house and knock outwards - NOT the other way round! For obvious safety reasons - you don't want your house falling down.