How best to insulate these ducts?
The &quot;round sensor in the ceiling&quot; is part of a fire alarm and/or ignition/fuel cutoff circuit for the furnace and is EXACTLY where it's supposed to be.
It's a &quot;heat detector&quot; (smoke insensitive, not prone to false triggering) and when things get too hot, it may (depending on what it's connected to) set off an alarm, cut off the fuel supply, or otherwise take action appropriate to having a furnace that is in thermal runaway (or on fire.)
Do NOT insulate that!
If you want to insulate the rectangular ducts, knock yourself out. If you are getting  lot of heat off the round exhaust flue, you might want to contemplate a more efficient furnace; if you want that insulated, you may need to upgrade to (rather expensive) double or triple-wall insulated flue pipe to do the job properly/safely, and then you'll just be conducting even more heat you paid for outside than you are now.