Remove glass panes and insulate the opening.

So leaving it in is also possible. Energetically certainly not ideal, but cheap. I would then only put insulation on the outside, on the insulation a vapor-permeable underlay membrane, above that battens (3cm) (ventilation gap) and then the shingles on top. Inside you can simply put an OSB board in front.

No, then the panes come out. I have 5-6 cm where I can put insulation so that I can then place the OSB boards flush in front. So if I now take 20mm OSB board inside, then foil, then 50-60mm insulation, then OSB, then shingles or slate, that would be better than my current windows and I wouldn't have to worry about mold or moisture. Is that correct?

Sorry for all the questions, I just don't want to have a nasty surprise sometime.

Oh, and what I forgot to mention: As insulation itself, stone wool/glass wool would be best, right?

Anyone have an answer for me?

Can I also insulate only from the inside? Like plywood board, foil, insulation, and then the pane without anything in front? Do you use a vapor barrier or a vapor retarder?