If you intend to spend lots of time in it, reloading, drinking beer or storing stuff, etc, lots and lots of insulation!
My tool room is lined out, walls, ceiling and door with aluminum sheet, backed with 6" or so of insulation foam. Using a 3kw fan heater on the lowest setting the thermostat switches it off after 15 minutes or so and then it's T shirt time. Takes ages before it switches on again too.
Insulation panels were all stripped from a disused industrial freezer room and cost nought!