Searching for materials that are strong, have a high melting point, low conductivity and low thermal expansion, I found a few possibilities. With ball clay in abundance, I figure mullite is a pretty good choice. What is mullite?
Named for the isle of Mull, Scotland, where it was first (and actually, only ever) found, mullite is a crystalline aluminum silicate in the molecular ratio of 3 Al2O3 + 2 SiO2. It is most commonly formed by calcining kyanite or other similar natural materials (andalusite, silimanite, etc.) which have a similar composition (1:1 Al2O3 + SiO2), of course leaving some free quartz since the mullite has somewhat concentrated alumina.
Compare this to an average porcelain and you'll see it's a much better insulator and more shock resistant (less expansion). Insulation isn't good enough to make a whole furnace out of, at least solid; not that you'd want to fire that anyway. For preform shapes (like integral burner nozzles in a furnace, or kiln furniture) it's hard to beat.
Depending on the composition of your clay (assume anything I'm doing here is bonded with clay...), it'll take about 3 parts alumina to 2 parts clay. Such a proportion is still pretty moldable, at least with my fine ball clay; you may meet with less success if your alumina is really coarse (abrasion grit for instance). It should be pretty fine, otherwise your product (unless you fire it to cone 20 for a few days to disperse the mixture) will have solid alumina particles in a glassy mullite + silica structure. There's not really anything bad about that, but it probably will soften at a lower temperature than pure mullite. The hard particles of alumina would give good abrasion resistance, though.
Where to source alumina? Well, if you have a well-stocked ceramic store nearby, your journey is complete. There isn't one within 50 miles of me, so I have to make it. Fortunately I melt aluminum, which hides the refractory nature of its oxide behind a shiny, relatively low melting point facade. But alas, the metal has to be oxidized (or at least finely divided) before use. Now there's a few ways of doing this, and I could think of some very fun and exciting methods, but I like keeping my metal for casting so I will resist the unholy sacrifices. However, there is one route that lets me keep my metal (in fact recovering some) while obtaining the oxide: refining slag.
This is how I made the materials for this piece:
Dimensions: 7" tall by 5 1/4" wide, 1/2" thick; weight 560 grams (1 lb 3.7 oz.). Volume is 18.38in3, theoretical density would be 2 lbs. so it falls a bit short at S.G. = 1.85, due to porosity (likely from the coarse material used). Could stand to be fired up around cone 15-20 for a half day or so. Oh, and the black spot by the fracture is where I carbon-arc melted a spot; it cracked (with a satisfyingly loud enough twank) from the stress. Doesn't seem to melt all that fast, at least as silica based materials go (LWI-26 glazes quickly under the arc due to the fluxing calcium content, while straight limestone is very difficult to melt much, owing to the raw calcium oxide content melting well above 4000°F).