The likely cause of your "ghosting" nails which show is from soot.
Either you burn candles, smoke or your fireplace is not drafting correctly. This is caused just as you said, by warm air carrying the soot across the cold nail in the wall. The soot collects on the cold nail. The worse it gets the more you see, eventually you will see the studs in the walls because they are colder due to the extreme temp variations.
Insulating won't help much unless you insulate across the faces of the studs to help control the temp difference.
Hope this helps , I know when I first saw this I was confused also.