The pipe material is usually PVC? PVC doesn't exactly transmit heat very well, in fact, it's one of the materials used to improve the thermal properties of window joinery. Neither does terracotta if you've got pipes that old but they're not usually used above ground.

The only pipe materials you're going to have a problem with creating thermal bridges are metal and for a waste pipe, that probably means cast iron. If your house has cast iron waste pipes then there may be some thermal efficiency benefit to replacing them with PVC, otherwise the pipe material is basically an insulator.

The air in the pipe will generally match with the outside air whatever you do because pipes are vented (don't block the vents...) but air isn't much of a conductor of heat either - the biggest problem with air when insulating is letting the inside air escape and be replaced by outside air. This is easily managed by sealing around the pipe where it goes through the wall.