I use an unvented natural gas heater in my shop and it works fine. You get used to the smell. Natural gas is quite clean, I've never seen or sensed any issues with particulate from the flame, but running the fan tends to get dust moving around so I have to use an air cleaner if I'm doing finishing work, and unless it's really really cold I just turn it off while I'm finishing. I don't use it if I'm spraying anything with solvents in it. I don't run the heater when I'm not in there, so between work periods I use one or two (depending on outside temperature) electric oil-filled radiators to keep it in the 40-45* range. They run about $35 and there is virtually no risk of explosion. Much colder here in the winter than in your locale, though.

A lot of people around here have garage heaters that are quite nice. They're actually designed for this sort of thing.

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