If you have a wooden shed I would be very cautious of how you insulate it as if you trap moisture or create a cold spot (which will attract moisture) you will have problems with rot in the long run.
Block the big drafts around the door and MTFU 🙂
Plenty of people manage to work outside in all weathers all year round so being in a garage should be problem
tip 1 do not stand on concrete try cardboard if on a budget or a thick rubber mat or spend out on some insulated boots.
tip2 wear a hat
tip3 thermals and a pair of overalls as well as normal clothes
tip4 a fan heater blowing at hand height not to warm the garage but for keep your hands warm (vinal gloves are great)
A friend works in a garage which has the roller door open all the time when they are open which during december was a tad cold but with gloves boots thermals hes claims its ok