Interior walls are still pretty limited and tricky at the moment. The best option right now is to build walls using the Slabs (free-design) tool, but I believe it has trouble if there’s a ceiling above (for example, the ground floor of a two-story structure). The last time I tried, the Hearthlings couldn’t complete the top two or three rows of voxels since they were bumping their heads against the ceiling. Granted, this was a few releases back, but I don’t believe this would have changed yet.
As for doors and windows, I don’t know if it’s possible to put them inside a building. If so, it’s through glitching the construction system and might cause some issues down the road for that game. This post by @Kythandra suggests that it should be possible:
If I’m seeing it correctly, Haru-Jo (@Kythandra’s recent excellent project) utilizes this placement technique (or are the windows in regular walls made of singular colors?). Might need some testing to see how well it works for different situations.