Unless you are going to be in the shed for many hours, every day, then (for me) ventilation is possibly more important than inusulation. Even insulated, once the cold has come in it will stay in, but if the inside is even a few degrees warmer than the outside you can get condensation, and this can lead to other problems; as we all know.
I actually leave the windows open, until I am in the shed, and the heating is on. Windows are left open overnight. Security is not really a problem where we live, and with our windows only a small opening is possible. However, you don't need to leave windows open if you have good ventilation. Depending on the shed, ventilation can be added.
Going off at a tangent here. The other thing that often gets forgotten is our grandparents all wore long johns in the cold weather. A lot of us grew up with central heating and thought long johns and fingerless gloves were consigned to the history books. They were re-introduced to my wardrobe a few years back, and with the growth in outdoor pursuits, long underwear has become more technical, more widely available, and cheaper.
For the workshop, if you keep your trunk and legs warm, the old feet and hands stay warmer too.