The k value given means it will conduct 0.13 watts per metre of thickness for every degree C difference between inside and outside temperatures. If you're thinking of materials in terms of how well they insulate (as opposed to how well they conduct) it is probably easier if you convert the k value to an R value. R is the reciprocal of k, so:
k = 1/R, so the R value of sterling board is 1/0.13, or 7.7 m degC/W.
Steel is approx 0.08, Concrete is around 0.6, and still air is around 40. In other words, a low number is bad and a high number is good, and these numbers explain why it's better to fill a sealed double-glazed unit with air rather than concrete or steel
You're right in thinking of the U value as a kind of overall figure for the complete construction, rather than for the individual materials, and it is calculated by adding the R values for all the materials in the 'sandwich', and at the same time allowing for their thickness (thick layers insulate better than thin layers). You should also add in the figures for convection and radiation - a building loses more heat if it's windy(convection), and more if it is painted matt black (radiation).
So, a steel roofing sheet will provide hardly any insulation, sterling board will not be much better, but an air gap is good, provided the air is still (moving air will also move heat). If you want a big air gap then loft insulation will provide it.
Putting all this into real life, adding a layer of sterling board will do little to conserve heat, you'll probably find that it will still suffer from condensation (not so noticeable because the board will soak it up until it becomes saturated) and within a year or two you'll have to rip it all down and start again. I'm afraid the only way to make a workshop warm is to exclude damp, insulate, prevent unwanted draughts and provide heat. Missing out any one of those four will cost you money.