DEFINITELY insulate! Not only will it be warmer (and CHEAPER TO HEAT ) but there will be less problem with rusting.
Do build in some, if only slight, ventilation. as near as possible to the floor, a fixed vent, or vents, will allow moist air to exit. We all exhale moist air and we perspire.
My small shop is well insulated, and has floor level vents. Rust is not a problem.
Despite what others will say, moist air is heavier than dry air (Churches combat moisture by placing unglazed earthen ware pipes into walls, with the external end lower than the internal. The damp air enters the tube, and falls out of the lower end. How do I know? My late father was a vicar and his book on church maintenance advocated this as means of combatting damp )
Don't skimp on power sockets, you won't find that too many remain unused at some some, (Power tools, vacuum cleaners, battery chargers, engravers, extra lights, etc will all need a socket when you have too few)
If you use VFDs, do consider feeding from a suppressed socket, to avoid the risk of feeding unwanted noise back up the mains into your house, and any other on your phase of the mains.
Enjoy yourself, hours of fun to come!
Howard