I insulated my shed, it's part old farm walls and breeze black, I battened lined the walls and floor with polystyrene sheets (polythene sheet underneath on the floor.
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The floor is important in cold weather, then I used flooring grade chipboard, and plasterboard on the walls. The roof is also well insulated, there was already power, I just needed to add water and drainage. The window was already double-glazed, and I insulated the door as well.
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It's cool in the Summer as long as the door isn't left open, and warm even with a hard frost. I do have a small freestanding radiator I keep set low in the winter.
Ian