Two things:

1. Are you sure they mean "shut off the gas supply", or do they mean "shut off the furnace". Shutting off the gas supply could mean installing a motorized valve prior to the furnace. Shutting off the furnace would be done by putting the contacts of the relay into the thermostat wiring. Usually, shutting off the furnace is the goal - this is to stop smokey air from being distributed throughout the house via the duct work. This method shuts down the blower motor - whether it's for heating, cooling or just fan mode.

2. I don't think a standard smoke detector is designed to be installed inside of duct work. System Sensor, and many others, make duct sensors designed for this purpose.


[Link: systemsensor.com]