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The folks I've been in contact with from suppliers always told me that the higher density insulates better. On the other hand, Thermal Ceramics datasheets doesn't differentiate the thermal conductivity by density. I would wager that the difference is likely miniscule.
http://www.thermalceramics.com/upload/pdf/514-205.pdf
I know this advice will probably be ignored, but I'll say it again anyway....
If you're using the forge a lot, ditch the wool and go with firebrick and/or castable refractory.
Ceramic fiber is not something you want to be around a lot. It goes in the air little by little as it degrades and you breathe it--especially when you rake it with your workpiece.It's on the CDC site as a 'probably human carcinogen.'
The heavier brick and cast refractory also serves as a 'thermal mass'. It stores up heat and can radiate it back for a long time. This is really convenient when doing more delicate pattern welding because it allows you to turn the gas/air way down and maintain welding heat in a much gentler atmosphere. (vs. blow torching your joints just to keep the heat up.)
... the downside to that extra thermal mass is that it takes longer to get heated. If you're working a lot, for extended periods of time, castable is indeed great. If you're like me and get an hour here and an hour there, waiting 30 minutes to come up to heat sucks. I can be to welding heat in under 10 minutes with my "hybrid" forge. If you place the burner inlet right you're not torching your workpiece either ...
It does differentiate by density. There is not data for 4 or 6 pcf at 2000°F.
The difference in thermal conductivity ranges from 20-40% higher on 4 pcf vs 8 pcf, from 500 to 1800 °F.
if i wanted to use natural gas would a gas line that feeds a range be enough for a forced air. i have an electric range but it has a natural gas hookup behind it.