I am assuming this is an uninsulated metal framed sheet metal walled shed, with something like passive vent openings in the soffit area.
Venting:
If you are not creating any major fumes in there, you could block a significant amount of the passive venting. Or you could block all of it, and install a fan/blower at an appropriate cfm, that you could run when occupied, or when fumes are being created...
Heat loss due to forced ventilation is roughly BTU/h = CFM*DeltaT (the temp difference inside to outside)
Insulation:
A thin uninsulated wall will be about R-1 to R-1.5. The formula for heat loss is BTU/h = Area*DeltaT/R-value. Compute surface area of shed * DeltaT you want to achieve and divide by 1 or 1.5, the results will be the BTU/h you need get the heating you want.
Cheapest insulation that does not require an interior finish might be fiberglass batts with foil facing. One see this frequently in warehouses, etc. These will be R-3 to R-3.5 per inch of thickness. Adding even 1 or 2" of FG will take the R-value of the wall from 1-1.5 up to 4-6, and cut your BTU requirement by >75%.
So, now figure how many hours you want to do the heating per year, (or local heating degree days (HDD) times 24 for 24/7 heating), multiply that by your heat loss BTU/hour, and divide by your cost per BTU to get your annual heating cost. Assume $40-50/million BTU for elec, $30/MBTU for Propane, or 15 MBTU/cord wood for wood heat to get cords required per year.
I would run the heating cost at R-1 (no insulation) and for 1, 2, and 3" of FG (R-4.5, R-8, R-11.5). Then cost out the material cost of the insulation and make a call on what looks good in terms of upfront cost versus operating costs. For wood, if you get the BTU/h below ~40 kBTU/h you can prob run a stove (cheap) versus a furnace ($$). I would assume warmer workers would be better workers.
The way the math works out is one of diminishing returns. The first inch of FG cuts your BTU loss by 75%, 2 inches cuts it by 88%, but costs twice as much nominally. Also, insulating half of the area (say, just the roof) is stupid. You can see that in the math above, if half the area is R-1 and the other half is R-10, it is like having the entire area at R-2, but uses 5X the insulation. Like going outside in the winter with a warm coat and no pants.
You can crunch the numbers in a few minutes with a calculator or spreadsheet and pick what works for your application and budget.
Personally, if the space was frequently used and did not require a huge amount of ventilation, I would be pretty generous with the insulation.
If this is a garage that needs a ton of ventilation, I would look at propane fired radiant heaters in the ceiling.
