The default wall condition in the Project Wizard applies only to the outer walls. So you could add some h value there if you want to compensate for heat loss to atmosphere, and don't want to run the analysis as external- but other than that it is not required.
Based on what you are describing all you should need to do is set up the Internal analysis with the Fluid Subdomain which it sounds like you already have.
Make sure "Heat conduction in solids" is enabled in the project options. Then specify your wall material as Default Solid. Or if you have mixed materials you can apply multiple Solid Materials separately. This will take automatically take into account the thermal conductivity of the various solids.
There is a tutorial in the software that is also very relevant, in the Flow Simulation Tutorials PDF (Help -> SOLIDWORKS Simulation -> Flow Simulation Online Tutorial) example B3 for Heat Exchanger Efficiency
If you do want to define the analysis as external, you will need to use TWO fluid subdomains and also make sure that only Air is specified as the default fluid.
Thank you Ryan!
Will run this evening and share the result when finished.