Door jambs are readily available pre-made, and often come with the door you purchase. It is easy to make one yourself, though. You can use any hard or softwood, but a softwood like fir is probably best if you plan to chisel notches for hinges rather than using a router. If the jamb will be supporting a heavy door, have some 16d finish nails or even 3-inch screws so you can attach it securely to the framing.
Measure the distance from the edge of the inside wall to the edge of the exterior siding to get the width of the jamb. Set a table saw rip fence to this distance and rip 1-inch boards to this width.
Measure the width of the door opening and cut one of the jamb boards to fit with a circular saw. Make lines on the end of the board that are the same distance from the ends as the thickness of the wood. Use a scrap piece of jamb board to make this measurement.
Set the depth of the blade of the circular saw to 3/8 inches and make rebates in both ends of the board. These are grooves that will accommodate the ends of the side pieces. Pass the saw repeatedly, starting at the ends of the boards and moving towards the lines.
Measure the height of the door opening and subtract 3/8 inches from this measurement. Cut two jamb boards to this length with a circular saw.
Set the jamb boards on edge on a flat surface and set the ends of the vertical pieces inside the rebates. Nail the three boards together with 2-inch finish nails, using three nails on each end.
Lift the jamb in place in the door opening and pound two finish nails into the top board and into the header to hold the jamb in place. Don't sink these nails fully. Use a level to make sure the top is horizontal, inserting cedar shims behind the jamb if necessary.
Use a level to plumb the sides of the jamb, inserting cedar shims between the jamb and the studs as necessary. Nail or screw the vertical jamb boards in place using 16d finish nails or 3-inch screws. Use these in pairs at 18 to 24-inch intervals. When you are finished, nail the top of the jamb in place
Rip 1 1/2-inch door stops, cut them to length and mitre the top edges of the side boards and both edges of the top board to 45 degrees. You can do this by setting the circular saw blade to 45 degrees and making a careful crosscut.
Make a line on the jamb for the door stop. Mark the width of the door so that the door will be flush with outside of the jamb when it is closed and seated against the door stop. Set the side pieces on this line, plumb them with a level, and nail them in place. Then insert the top piece into the mitred ends of the side pieces and nail it.
Sink the heads of screws and nails so you can fill them in preparation for painting. Use a nail punch to sink the heads of finish nails. Be sure not to put a nail or screw anywhere you need to chisel out a place for a hinge or a door knob strike.
Wear goggles when using a table saw or circular saw and keep your hands away from the blades. Use a push-stick to rip wood on a table saw.