A skid pipe with heat-insulating protective member gap generation of the heat-insulating protection member upper portion is more sufficiently prevented, the construction method of the heat-insulating protective member. Wound a plurality of ring-shaped needle blanket 10 to the skid pipe 1 to form a first compressed layer L-1 are pressed down by the pressing plate 20. Second compression layer L-2 on its upper side, forming a third compressed layer L-3, holding down in the presser plate 20, respectively. After loading the ring-shaped needle blanket 10 between the refractory coating 3, pulled out pressing plate 20. A third compression ratio of the compression layer L-3 first, larger than the second compression layer L-1, L-2.