Our wall SIPs (structural insulated panels) are 8" thick, and the roof SIPs are 10" thick. The "bread" of these large sandwiches is OSB (oriented strand board), with a middle of insulating foam made without formaldehyde. They are cut to custom size and shape, with the window and door openings cut out, and are numbered to fit together according to our house design and engineering.
The exterior walls and roof go together quickly with the help of a crane (and a good work crew). Some beveling and trimming of the panel edges before the crane arrived would have made the assembly go even faster!