If you can't afford to insulate the shop, the next best thing, maybe the first best thing is to seal all air holes. plug/seal any areas where air can come in or get out. In on area of my shop, it isn't insulated. There is only 1/2 osb on the outside of the studs, but the building is very air tight and it heats very easy and maintains heat after the furnace is off. If you have air leaks, it cools off quickly.
Around my area there are many pole barn buildings which just sheet steel on the outside if the studs. Even though it may be air tight, it is almost impossible to get the area warm inside. I have a friend that has a steel pole building (24 x 30) and when he built it, he came across a big roll of Styrofoam. I was like a big roll of toilet paper. It was 3 ft wide, 4 ft tall and no more than 1/8" thick. About like a styrofoam coffee cup. He put that on the outside of the poles then the steel. Its amazing how easy and nice it gets in there at 10 deg winter days. The first 1/8 of insulation does the most good, then any more after will help but not as much as the first little bit of insulation. But keeping out any drafts and keeping it air tight is very important. Just my 2 cents.
I was at a home and garden show few year back and there was a company there pushing and selling spray in foam. They pump it in your walls through drilled holes. They boasted and bragged about only 1% shrinkage. Then someone questioned them and asked, so your saying if you have a 10' x 10' wall sprayed with foam, with 1% shrinkage, you will have a 1 inch gap on one edge. Well the seller did a lot of stumbling over his words and did some back stepping.