Insulate/vapor barrier first.
The exterior wood burner idea could work well - a friend does his sauna that way. It feeds and draws from the outside, with much of the special purpose stove inside, but that is only a 10x12 , 8" square cedar log structure. You would likely have to run some sort of glycol heat distribution inside, with a wood heated boiler. My BIL in Wisconsin built one such for their basement, which was always cold.
Another option you might consider is pouring a slab with glycol-filled heat tubes in it, like my garage has, tho I use a natural gas boiler system. May be a little tricky using wood heat, but you could feed it during the day and the slab would retain heat all night. It won't freeze up.
I keep my thermostat turned all the way down, so it is usually 53-60 in there, depending on outside temps. It does take a couple hours to reach a higher temp if I crank it up a mite. Usually I don't - coveralls, maybe with a hoody or sweater underneath, is easier and quicker than waiting for the temp to get above 65. In the summer, I turn the boiler off, and the garage maintains about the same temp - On a warm day, I can just open the bay doors to warm it up a bit.
The biggest problem I have is humidity in the winter from melting snow and ice, plus my wife keeps all her stupid flowers in thef loft area and waters the hell out of them every week or two. A $1500 commercial dehumidifier from Home Depot , with a drain tube running into the utility tub below pretty well handles that.
If floor space is a problem, either the slab heat or an overhead heating system may be the best options. Whatever - if heating the inside, You definitely wanter a vapor barrier, unless just stud-wall and outside paneling. Even then, you will get condensation/frost on the inside of the outside paneling in cold weather.
You did not say - will it be full-time heated or part time? Are the interior walls bare 2X construction, or does it have paneling, which will complicate insulating the place. I would also recommend using high density batt insulation, or, if the interior walls are paneled, with a vapor barrier behind, you could use blow-in stuff, filled from holes in the top. Do not neglect the roof/ceiling!
If inside paneled, it might be worth it to take that down, insulate and vapor barrier, and reinstall. especially if the builder was intelligent enough to use screws and not nails, much less a nail gun.... Paneling- especially sheetrock, tends to get damaged to one extent or another upon removal if put up with nails. Screws, even in sheetrock can be located and removed, and the sheetrock- if carefully done- reused. New is running about $25 for a 4X8 1/2 sheet here. I just bought 4 sheets. OSB is several times that, last I checked some time back. OSB or plywood interior paneling is real nice for hanging stuff on and securing shelving - it's not that stud dependent, but likely won't meet code unless it has sheetrock over it.
Have fun....... I hope this helps.
Or, you can plug the vehicles in and wear insulated coveralls out there. :
I hate retro-fits? I'm working on an unfinished, wood heated recreation cabin right now, a few days a month, as third owner, purchased last January.. It was started 20 years ago - my wife and I finished the vapor barrier a couple months back, and just that, over the already installed batt insulation made a big difference. The first order of business after purchase was to move the location of the death-trap stairs to the upper bedroom story and rebuild it to safe. Of course, you can't get there from here, so a couple non-load bearing stud walls had to come out, wiring re-routed, vb finished, & sheet rock put up and finished (still working on it in the stairs area - still have most of the rest of the cabin to do). A hole for the new stairs cut out of the 1st living-floor ceiling is pending , after the walls and ceiling in that area is finished. Just a little "remodel, is all! Thank you, Lord there isn't any indoor plumbing! I figure I can actually start building the stairs in a month. Or two. Maybe three. It's a rec cabin, after-all.
Judging by the barrel of empty beer cans and a couple cases of full ones that came with the cabin, the previous owner(s) should have done less recreating and more cabining.