Dave, the blue box is the bounding box for the component. No getting around that. The bounding box will be aligned with the axes of the component although these axes may not be aligned with the major edges in the component. The component axes (and the edges of the bounding box) will align with the "global" axes when the component is drawn although if you rotate the component afterward, the axes won't align with the global axes.
If you drew your component off axis, you end up making alignment later more difficult. You can confirm that youre lines are being drawn on axis by setting Line color to By axis. This is done under the Edit tab in the Styles dialog box. Click on the little wire frame cube you see after clicking on the edit tab. At the bottom of the dialog box there is a little drop down menu which you can change to By axis. The lines in your drawing will be colored to match the axis they are parallel to (assuming they are parallel to any). You can always set back to All the same later.
I would suggest that as a matter of course, you draw your components in the model you are working on. If you are making components of every part as you draw it, You can use those parts as references for the next parts you need to draw. Think in terms of making each board you need for the project. Make the first instance of it in place and, with the Move tool make copies as needed.
To carry this thought a bit further, draw the board to the full size it'll need to be and draw joinery in as needed. Cut away the waste. Don't draw the piece and then add the joinery bits to it. For example if you are drawing a box that will have its sides dovetailed together, draw the boards to the full length or width of the box. Then cut the dovetails and sockets. This is much easier than trying to add the pins and tails to the boards.
In the case of your shed, unless you are doing post and beam construction, you aren't likely to have any joinery to draw but the idea is the same.
Hope that explains it a bit.