Typically, when I have a situation where the jamb is wider than the wall's thickness, I push the brick moulding against the exterior wall and make a filler to space the interior casing to match the jamb width.
Sometimes, the interior just won't look right if the jamb doesn't sit flush with the walls. In this case, a filler behind the exterior brick moulding is the way to go. Caulk the filler, front and back, as if you're trying to glue it on and it should be a weather-tight seal.
[URL="http://www.houserepairtalk.com/announcement.php?f=39&a=6"][size=3]The Ten Commandments of House Repair Talk[/size][/URL]
[URL="http://home.bellsouth.net/p/s/community.dll?ep=16&groupid=289528&ck="]Square Eye's home page[/URL]