Make sure those 4" panels provide the structural strength you need; Thermocore says they can only be used up to 9' height.  Over that you need the 4.5" panel.

But as for your question -- more insulation is always better, but there is definitely a point where it gets more expensive than it's worth.  Where that point is depends on your climate, HVAC design, and other building details.  The colder the climate, the more important R-value is.

As for 4" seeming thin, you might be intuitively comparing it to a 2x4 stick-built wall, which is an apples and oranges comparison.  In a typical stick-built wall, air infiltration is a huge source of inefficiency.  They are very difficult to air seal properly.  SIPs are much easier to air seal, and with that alone they are easily twice as good as a stick-built wall, before you even start talking about insulation.  Think of it this way: if you built a house with R-100 walls and R-200 roof, but then left a couple of windows open all the time, would you have an efficient house?  Of course not.  An R-24 house that's nearly air-tight will perform better.  Then of course you add in the thermal bridging of all those studs and SIPs pull further ahead.

As for the insulation value, Thermocore panels are closed-cell polyurethane foam.  That has a higher R-value per inch than EPS.  Higher than just about anything else outside of the laboratory, really.  So the 3" of foam in there is giving you pretty good insulation.  Combine that with the improved air sealing and you've got a very good wall, compared to stick-built.  (Just make sure your air barrier is continuous in all the trouble spots: seams, corners, wall/roof, and wall/foundation.)

That said, a 4.5" panel is stronger and provides better R-value, and probably isn't much more expensive.  If you use drywall returns in your window jambs the extra depth is not a big deal.  Run the numbers before you make that decision.  Depending on your climate, I suspect the extra 1/2" will pay back in energy savings within a few years.

Smartin,

You can also check out steel sip panels.  their 4" or 6" can go 32 feet up structurally building three stories.  The 6" panel is less than 50 cents more per sq ft than the 4 ".  With this you can use the same 6 " panel for you roof giving you an open gabled roof.  It makes the same room seem twice the size with the high ceilings.  With the steel sips you can use them for the basemant floor if you have one and the second floor. with solid panel all the way up.

Woody Job, Sanford , FL. 2 story SIP
http://www.ntm.org/don_woody/photos.php?img_id=24183&category=Building+our+house

Are there any other manufacturers using polyurethane that have thicker wall panels? Part of the attraction was that with 1/2" drywall you can just put the windows and doors in without modding anything. I am doing 9' ceilings so that would be at the limit for the 4" panel. Living in northern wisconsin I would be willing to spend a little more for the reduced utilities. I just don't want to go too over board and not be able to recoup the additional cost. By the way I'm doing a single story with a walk out and using infloor hydronic heating.

smartin;

standard door jambs are 4-9/16" .....even standard OSB sips are 4-1/2" plus 1/2" drywall makes a standard jamb too small. But, jamb extensions are an small cost in the grand scheme of things

We offer a 6 1/2" R-44 Polyurethane SIP wall. It can easily support tall walls (up to 16feet) however if unhinged, will need dimensional lumber at the joints to give rigidity. My structural engineer is pretty anal about that. We're in Calgary, Alberta and could ship via truck to Wisconsin. Our SIPs are 100% custom fabricated for your build ready blueprints, it's a lego kit to assemble (not build, assemble) your house. As for door jambs/window jambs, if you pre-order with the thicker ones, there's been no extra charge here so it looks right as the 6 1/2" SIP will be finished at 7" with your applied drywall.

Smartin,

Check out the status of our project... perhaps the most energy efficient modular home ever built - www.GouinGreen.com.

R40 SIP (6.5") closed cell polyurethane foam walls constructed in a modular factory (extremely cost effective). To rid ourselves of thermal bridges at the framed openings and necessary structural beams, we've added a 1/2" of R3 foam board to the outside (under the siding).  Some might say we are crazy, but when I finally post the project numbers, you will see that it is quite cost effective.

Good luck,
Ed