Good advice Hqnk. Security is probably one of the 5 or 6 most important issues you face in building a workshop. If you will have a bunch of tools you would like to keep you better "harden the target". Another important item to consider is insulation. You guys in the north have the cold to contend with and those of us in the south/west have the heat to deal with.
I will stuff the walls with fiberglass between the 6" studs. Then I'll put 1/2 plywood on the walls. If they try to cut their way through to wall they will have that plywood resisting them. I will probably have the solar shield radiant barrier installed in the attic.