Yes, I've done it in an extension. First I battened out the wall it was to be against and insulated it with 100mm glass fibre, then I built a 100x50mm batten frame about 2m x 1m x 2m internal, with tongue and groove on the inside, 100mm insulation, chipboard roof, plasterboard outside. I got the heater from Ikea, about 7kW if I recall right. There was a openable vent at head height to let out the heat if required (and for ventilation when not in use). I made 2 benches out of deal, one low down for lower heat, one about 900mm off the floor. It cost about 50p to get up to temperature. You need to do the t&g dead tight as it will shrink from the heat.
[edit]total about £500 in 1993. You have to budget for a separate electrical feed for the heater, unless you use a smaller heater and allow a slower warm up