insulation,
insulation,
and insulation,
and one more time insulation!
and making sure you have all the cracks filled.
if you are going to heat entire shed, vs having parking area and them some space walled and insulated up for a work shop. you will want "roll up doors" vs sliding doors that slide off to the sides.
i have used 1/2", 1", and 2" hard board insulation with and with foil on it. and enough cans of "great stuff" red can close cell spray foam. that i should of bought stock in the company.
insulation ya it costs, but it really does pay for itself. if i had cash i would of went with a company that did spray insulation and did the entire shed at one time. but at time only spray companies near me, required something else to be placed over the spray foam. to deal with "fire codes"
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if i had option, i would go with radiant heating. to many times i am caught on the ground under something, repairing or doing something. to just plain seating on my rear, do to project is to large to set up on a bench / table.
personally not a fan of of a wood stove. ya they seem nice and cheap, but i have to many other things to do, than dealing with fire wood or wood pellets. and then cleaning out the ashes and cleaning up bark and like from dragging wood into the shed and like.
at moment the one shed has i want to say 24' wide, 40' long 12' high ceiling. with 1" hard board insulation with foil on it. that is divided off of rest of shed. and is heated by a cheap LP gas vent less wall heater. and it takes 1 to 2 hours (pending on how many times i open the door) to heat it up. then about 2 to 4 hours after turning it on. i am having to leave the door open or open up a window just to reduce amount of heat. the con is "fumes" from the vent less heater.
due to fumes, from any gas heater. (make it a furnace for a house, to a gas water heater, to gas boiler), one of the many projects on the list. is to move to a "furnace" like a house might have. and run some duct work. to circulate the air in the partitioned work shop area. and pipe the exhaust out of the shed. it is not about the air ducts blowing directly on me, but rather making sure i get good circulation of heated air through the shed, that is of a bigger concern. and then at later date, the other area of shed that currently has dirt floor, is putting in concrete with radiant heating.
ya others said it takes some time for radiant heating to kick in, but if you go overboard on insulation. and size the boiler to correct size. heating costs can be nice and cheap. and for the projects were i am out there an entire weekend, and then over the next week after work. and not having to deal with fumes, or taking time for wood stove... so much the better.