I've done the foam in that cavity, but do yourself a BIG favor. Use 'low expanding' foam, or something similar. The normal stuff will push the window track in towards the sash, binding the window. I replaced the sliding door from my kitchen to the deck, and I used foam very sparingly, but it still bowed the frame almost half an inch. If you end up doing this, all is not lost, though. I ended up using a knife to cut a swath of foam out after it dried. I removed enough for the frame to relax, and all is well.
As far as the boards in the wall, typically the wall is covered on the outside, tar paper back in the day, and more recently a building wrap, such as Tyvec. I don't know that I'd caulk the gaps between the boards, as the cavities outside of the heated space need to breathe. It's probably not a good time to pull the siding with this cold snap, but maybe stiff in some fiberglass insulation, and a vapor shield on the inside, and address any leakage from the outside if it ever warms up!