Phase changes will probably work well for structures that would otherwise be used for insulation anyway - in the case of this particular idea though, I think he

Phase changes will probably work well for structures that would otherwise be used for insulation anyway - in the case of this particular idea though, I think heat is moved in and out using another medium, air in this case, so a phase change would complicate things greatly (hard to bubble air through lava). But yeah, something like a phase changing fluid (gas <-> liquid) will probably work well, as it does in air conditioners right now.