I'm in upstate NY, and deal with the same issues - last year most of January and February was sub-zero or single digits. Here's my studio build thread - there's detailed photos of how we insulated.
http://www.lampworketc.com/forums/sh...d.php?t=220718
Besides good insulation, I have a propane space heater and, because the floors are uninsulated and 2 years ago I got chilblains from standing on the cold floor, I have a heated floor mat that I stand on.
Return air is from a very slightly - like less than an inch - opened window at the far end of the shed. By the time it reaches me it's gone past the space heater and the kiln, which sits on a rolling cart directly behind me. It has to be ungodly cold before I absolutely can't work out there (arthritic joints) and usually I'm not willing to make the trudge out there when it's THAT cold, so working conditions really aren't an issue.