What is the proper way to install a exterior door in brick/drywall wall?
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.