Nails into the extension jamb is good and they should go into the outer edge of the casing and into a stud. The same for the top and bottom. Nails into sheetrock only do no good and just leave more holes to patch. On mitered joints you can run 1 nail parallel to the wall into each of the casings. Use the right size nails and no more than needed.

Nails should be in both, extensions jamb (assuming wood) as well as the framed wall.

Thanks Toddinmn

windows on washington, when you say nail into ” framed wall” do you mean the wall studs ( 2 x 4 ) ?

Yes.

Yes. nail into jamb and 2x4 studs. leave a slight reveal of approx 1/8- 3/16 of an inch around the perimeter of the window. in other words, you dont want the new trim to totally cover the jamb.

This is especially true for doors since it can affect the operabilty of the hinges.