Timber garden buildings have a range of options that can be fully explored and incorporated into your design depending on the intended use of the timber garden building and your budget.
If the building is for storage then insulation is probably not required, however if you intend to use it all year round it is definitely worth considering. The insulation will help reduce heating costs and compliment the standard double glazed windows and doors.
In addition to double glazed windows and doors insulation is an option to the roof, walls and floor.
See https://www.lugarde.com/info/insulation/ for details and use the Lugarde Configurator to incorporate into your design.