Inspect the foundation underneath the location of your planned rock wall. If you have any doubts about its durability, increase its strength with concrete buttresses or call in a structural engineer to give you an opinion.
Leave several inches of air space between the existing wall and your rock wall. This acts as double protection against the rock wall transferring too much woodstove heat to the flammable wall, and it also keeps you from depending on the existing wall to support your rock wall. The rock wall needs to be perfectly vertical and able to support itself.
Lay a bed of mortar on the floor where your rock wall is going. Choose your rocks carefully so that they fit together well, improving the appearance of your wall and reducing the amount of mortar that you need to use. Seat the rocks firmly into the mortar and then fill the joints between them with more mortar.
Don't build more than one vertical foot a day. This keeps the weight of the rock wall from pushing down and deforming the work you've done. The work you do in one day will be strong enough to support the next day's work.
Build the wall to the desired height, then cap it off with flat stones. A heat shield for a woodstove doesn't need to be more than five feet high, although you may choose to extend it to the ceiling for effect.