Nail standard 2x4 lumber around the fireplace insert and chimney chase to create a sheath or frame. You will also need to nail a board over the top of the fireplace opening to support the frame you have created.
Sheath your frame with ½-inch OSB (oriented strand board) or plywood. OSB is generally less expensive than plywood but also less water-resistant. Sheathing the frame gives it structural support and provides a smooth surface for further work.
Staple #15 builder's felt onto the sheathing using a staple gun. Nail expanded wire lath over the felt using 1-inch galvanized roofing nails. You can also use screws but be careful that the screw heads do not push through the mesh openings of the wire lath.
Apply a light coat of concrete over the wire lath using a trowel. Do not smooth the concrete but leave it rough; the rough texture helps the stone to adhere.
Install thin stone facing according to manufacturer's instructions, covering the entire fireplace. Fill in the grout lines using a grout bag to squirt mortar in between the crevices; smooth with a trowel or your hands.