Wow, you have really good advise so far. What I have to add is:
1. A milk shed is designed to stay cool. You want it to stay warm...insulate everything (ceiling, walls, windows, doors, and floor) and make sure to look for any drafts.
2. Concrete and glass have horible R values (too tired to look them up now, but they probably can be found on the net.)
3. Wood is a good insulator but nothing near foam insulation. At 20 below, wood is a poor insulator. Sheet insulation is the way to go.
4. To insulate your floor, use high density foam under plywood.
5. If you have to have any penetrations in your insulation, consider insulating those components. For instance, if you have a metal pipe going through the wall, insulate it at least 12 inches into the building after it passes your normal insulation.
I have a book somewhere with R values and how to calculate your insulation needs. I have so much on my plate right now that it may be December before I even dream of looking for it. (December is no joke.) There are contractors out there that build super insulated homes and give a $200 annual heating and cooling warrantee. If your bills are ever over $200 for the entire year, they will pay the difference. We are talking about extreme engineering, but it can be done. So can your project; it will just come with a price. To do it on a budget, you will have to "think outside the box" and you will have to start hoarding any materials that you can get your hands on.
Start with insulating your exposed wall and think extreme. Measure the exterior walls of your home, use that as a minimum thickness for your exterior wall. Insulate your door to this same thickness or as close as you can. You can not get 100% coverage, but the more you inslulate, the lower your heating bills.
If money is left over from the exterior wall, use your best guess where your money will be best spent (still thinking insulation). For your first winter, populate a tank on each wall with goldfish. If they survive the winter, then the task is complete.