The first thing you should do is repair all those fancy windows and doors. They are a source for drafts, where warm air leaks to the outside or cold air infiltrates the cathedral. This is heat energy by convection, because warm air is moving, taking heat energy with it. Studies show that cutting down air leakage is the most cost-effective form of weatherization. The next thing to consider is insulating the ceilings, walls and floors of the cathedral.
Insulation cuts down on heat energy transfer out of the building via conduction.
That is the place to start adding insulation. For example, you might want to paint the outside of the cathedral black so that it better absorbs heat energy from the sun. Well, it really is the least cost-effective thing you can do. Heat loss or gain by radiation is usually a small factor affecting a building heat budget. Besides, whether this helps or not really depends on the temperature outdoors.