The short answer is, it all depends. Using a double-walled system will add weight to your stove, but it will improve your stove in a few ways. You should get a higher level of heat and your fuel will burn more completely.
Personally, I would think the increase in bulk would be worth the increase in performance. Another alternative though would be to build a second stove with a double wall, and keep the current one to be your lightweight version. Then if the outdoor conditions are especially windy, cold, or the location has very little fuel, you take your double walled stove. For summer trips when you just need a basic functional light-weight stove you can use the single walled.
This feedback is all adapted from experience using tuna cans as alcohol stoves, but the concepts I think are the same. Notice it's use of double walls.