When I insulated mine I started with the floor that was originally concrete, the moved onto the walls that aren't attached to the house. I also had to do the ceiling because mine had a flat roof.
I battened out the walls and floor etc and placed Kingspan insulation between the batterns, then covers it all with ply. I was surprised how well this worked. Still had the up and over door to contend with, here I just filled in the gaps with insulation and taped it in. Been like that for a few years now. To plug the gaps around the door, I used that brush type draft excluder, seemed to work well.
To round that off I have 4 120 watt tubes heaters that raise the temp 4 degrees above background. So all in all a cosy place that keeps wood movement to a minimum.