You can get short heat cables in most building supply and hardware stores. You don't need to buy hundreds of feet of it.
I have also seen it sold as heating for oil sumps on stationary machinery and for battery warmers.
Anyway it was just a thought.
So if you are going to put a heater in the shed then why not just put an old house baseboard heater in there instead of rigging a light and thermostat controller?
I know baseboard heaters can be found fairly cheaply complete with thermostats. I think they are usually regulated so they don't get hot enough to cause a fire, but you might want to check and be sure.
I don't like the stand alone electric space heaters because they usually go too high in temperature (glowing red) on the elements and can start fires.
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May set off to explore without any sense of direction or how to return.