This article presents the influence of three additions i.e., hydroxyethyl methyl cellulose (HEMC), sodium bicarbonate and flue gas desulfurization (FGD) gypsum on the porosity of gypsum-based materials. The specific microstructure for a material with good thermal insulation properties i.e., numerous closed pores distributed in the binding matrix, was achieved using HEMC (0.3 wt.%) and sodium bicarbonate (0.5–2 wt.%). The addition of HEMC to the gypsum binder determines, as expected, an increase of the porosity due to its ability to stabilize entrained air. In the case of a sodium bicarbonate addition, the pores are formed in the binding matrix due to the entrapment of the gas (CO2) generated by its reaction. Sodium bicarbonate addition delays the setting of gypsum binder therefore in this study FGD gypsum (waste produced in the desulfurization process of combustion gases generated in power plants) was also added to the mixture to mitigate this negative effect. The decrease of geometrical density (up to 13%, in correlation with the additive nature and dosage) correlated with the increase of the porosity, determines, as expected, the decrease of flexural and compressive strengths (33–75%), but improves the thermal properties i.e., decreases the thermal conductivity (9–18%).