My shed is insulated with polystyrene around the walls and ceiling clad with hardboard. Recently I have also added silver foil backed sheets to the roof, Apart from an attack by rodents chewing through a corner of the floor a couple of years ago there have been no problems. Originally I double glazed the windows but, since I usually had the lights on anyway, I removed the windows altogether. Apart from removing a potential source of leaks, it also makes the shed more secure.