If you are looking for cost effective heating, you must insulate first, or you will be throwing away half of the heat, regardless of your heat source.
Concrete walls can be insulate. Here is one way:
There are several ways to insulate a concrete wall, depending on whether it's a retrofit...
homeguides.sfgate.com
And here is another option:
The basement is one of the most important areas of your home to insulate properly. Basement insulation helps control temperature & keep mold & mildew out.
www.superiorinsulationco.com
I would recommend consulting with a local builder for the best choice for your area. Approach the project as if you are trying to convert the shed into a finished space that is comfortable for people, but also keep in mind that it will also need to be bird safe and easy to clean. Choose your finishes with consideration for durability and ease of disinfection.