I am thinking if none of the walls are insulated very well just putting something behind the stove will do very little as far as heat loss.

You will need to follow the code for a pettlet stove where you live . Usually they require a fire proof surround and a base that is quite a bit larger than the stove. As for heat loss IMO get to work on that issue now at least on that wall or all the heat you create will not really do much good.

I don't believe pellet stoves require a fire proof surround but there are clearances to combustibles and it varies with each stove.

You can try posting on hearth.com forums and they may be able to give you helpful information. They have a section for pellet stoves. I used the site when we were looking for our wood stove.

You should receive an installation manual with the pellet stove showing exactly what is required for fire protection. As far as heat loss, it has no bearing on stove location.

Thank you everyone!