When converting a storage shed into an office, the best type of insulation that you can use is the foam board or rigid board insulation. A typical shed has no insulation, and has unfinished walls and ceilings. Foam boards, such as polyurethane or polystyrene, can be installed on the walls and ceiling, and then be covered with gypsum board.
They can also be used to insulate the floor. This type of insulation is not expensive, and is easy to do. You only have to fit the foam or rigid board in areas you want insulated.