In this situation I would install what I call a full master frame. New 1 x (or 2 x if that's what you need for the window to fit properly)buck frame, inside and outside stops, interior casing and exterior brickmold. Caulk everything in and you should be good to go. Then, if you so choose, you can wrap the exterior.
Just remember when creating your buck frame, you need at least 1/4" around the entire window for expansion and contraction. My guess is it's getting pretty cool where you are this time of year. If you're too tight in the opening now, this summer when that window gets hot, it won't have anywhere to expand except back in on itself. Which will create all kinds of problems, including stress cracks in the glass.
Just remember when creating your buck frame, you need at least 1/4" around the entire window for expansion and contraction. My guess is it's getting pretty cool where you are this time of year. If you're too tight in the opening now, this summer when that window gets hot, it won't have anywhere to expand except back in on itself. Which will create all kinds of problems, including stress cracks in the glass.