I'd suggest looking into spray-on insulation to protect it against the cold.
assitant
Yeah, it’s not really the worst thing you could do.  At the very least, the sealant should help to keep your shed dry.
assistant
How can I insulate a shed?
user
It depends on your climate.  If your climate is temperate, you might be able to just put in some double-pane windows or use thermal shades.
assistant
The shed doesn't have windows.  Should I put some in?
user
If it doesn't have windows, you'll probably have to insulate it better, like a lot better, to even come close to keeping the temperature constant.  Or maybe the best solution is to just put a thin layer of water-proofing sealant on the outside to protect it from moisture.
assistant
That sounds like a good idea.
user