Reminds me back when I used to play guitar in a band and practice in a small old barn.
There were cracks so large in the siding that we used to look through the cracks to see who was driving up.
Dead winter in CT we had a old fashioned type pot belly stove and heat with wood. One guy did flooring so we always had oak floor cut offs. We were so warm that we wore T-shirts. The exhaust pipe didn't go straight up. It traveled up along the wall on a slant for about 12 feet then went out the upper wall and out and up. That all heat.

All this discussion depends on whether you build as a living (all day shop) or a few hours here and there.
I'm a casual shop user and I do have my house duct work going through my basement and I can open a vent opening if I need to. But I found a few electric space heater work fine and surprisingly my electric bill would not go up much at all - maybe $5.