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A little background: in Brazil drywall is kind of novelty yet, mostly used on comercial building. Houses here are still built only using bricks, with the jambs of door being affixed to the bricks either using PU foam or nails on wooden blocks lodged in the brick wall.

My house will have exterior brick wall (16 cm thick) with interior drywall (9 cm thick).

The exterior door jambs should be affixed to the bricks or to the drywall studs (metal studs here) or both?

What are "extension jambs"?

I was thinking on installing first the door on the brick wall and after that install the studs and hang the drywall and in the end install trims and any additional jambs, etc. Is that feasible? How should it be done?

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The answer is different between a structure supported by brick and a brick faced (brick veneer) wood structure.

It also depends if you want the door flush with the brick or inset from the brick.

The jamb extensions address the situation where the door assembly is smaller than the combined wall thicknesses

In general, doors are attached to the building structure. It sounds like your structure is the brick.

I personally like the inset look, so that would mean lining and waterproofing the brick rough opening with wood (typically 2x4s, treated). Then the door and exterior trims would attach to that.

On the interior, vapor barrier (semi permeable, like Tyvek, insulation and framing. The framing should be tied into the rough framing of the door.. Jamb extensions typically extend the door jamb out to thickness of where the drywall will be, making a natural place to cutoff the crywall.

After drywall installation, interior trims cover the small gaps between the jambs and the drywall.

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Humm, I think I will try to adapt the "standard way" of doing things around here. Mostly because of the available know how and parts need. Here, normally, the space between the bricks and frame are filled with concrete which usally is molded like a base trim for the door (or window), later the jambs are installed following the correct thickness of the brick wall, and finally the trims are added. –  Luiz Borges Feb 25 '13 at 19:28
    
Interesting. Are you in a part of Brazil that is not as concerned with heat loss? In the US, spray foam insulation fills between the frame and the jamb. Is the concrete part of the waterproofing/sealing? –  HerrBag Feb 25 '13 at 19:33
    
In Brazil we are more worried about losing as much heat as possible. :) But since you asked, no, there isn't many worries about a good insulation between jambs and concrete/brick/block/etc. The workers don't really know best practices (or at least best MODERN practices). This is one of the reasons I'm taking the forefront on the finishing process in my house (and also supervising the structural work too). –  Luiz Borges Feb 25 '13 at 22:29
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