When my shed was broken in to last year the cops said just make it as inconvenient as you can for them ie noise and bright lights (but more a strobe type thing)
I'm not convinced by better locks on bikes, try and stop them getting near them first.
When my bike went first they cracked the lock on the door. Second time they came back I put a slightly better lock on the door,and they just took the shed door hinges off. However the new shed alarm then scared them off!
This is the alarm Ive got. Shed alarms have delays that allow you time to switch it off, which also gives the thief time to find it and smash it up. With this one as soon as they do that, or cut the wire, the other remote alarm will go off!
Mines been in about a year now and still on the batteries sent with it.
Personally too I'm not for making the outside of the shed looking too over protected as I think that draws attention. Ive just got a decent hasp lock, all screws are rounded off, and the roof is bolted to the sides.