My dad always did that for us first time he visited in a new home. They're easy to put on, usually just with tiers or clips that are attached. Just be sure you know what size the capacity of your tank is before heading out to buy one. It helps stop the heat leeching out of the tank in winter and the cold from getting in. Both things make it work harder than needed.
You can even make your own if you have any fiberglass insulation lying around in the shed. Here's instructions from Lowes.
Making Your Home More Energy Efficient