Yeah, for good termal resistance with brick you need double walls with a gap in the middle (with air is good, with thermal insulating foam is better).

That said, I (in Europe) have never seen double walls used for internal walls.

PS: Actually I just remembered that in some places the kind of brick used is not solid but actually hollow - for example and one of the differences from this to the solid kind is exactly that these have better acoustic and thermal insulation.