My bunnies have always been in a shed for 28 years (my parents had them before i was born) but have been in cages. Our shed is a summerhouse and has concrete floor and bricks part way up, and never gets that cold. We never insulated as like i said, it never gets that cold. But we do find it can get warm in summer. Its in a resonably sunny location in our garden, and has many windows, which we now use aluminium blinds to keep heat in/out.
However, as im going to convert the shed completely iv decided to insulate it as they'll be more free roaming so may get affected more, and also to make it cooler in summer which for me is the main problem rather than making it warmer in winter.
I tried pricing various things up, and found recommendatins. Due to the size of the shed, polystyrene wasnt really viable as it'd cost so much! I found some people used bubble wrap with foil (which also reflects the heat in summer), and found this product which iv actualy just bought: (from this shop too, although you can get it elsewhere iv found this one to be the cheapest. He also does bids on ome of them, so i managed to get mine a bit cheaper)
http://cgi.ebay.co.uk/30-SQ-M-DOUBL...in_3?hash=item43999f2caf&_trksid=p3286.c0.m14
Its supposed to be as effective as 55mm thick polystyrene, and is thinner. The parts cant flake like polystyrene could too, which i did worry about.
Something else that got recommended was straw...but personally i decided against it as mice could easily nest in it if they got in, and id worry about it rotting. Id also have to buy a lot of wood sheets to hold it in, whereas i just bought 1/2" by 1/2" wire which worked out a lot cheaper and easier (im using it to stop the rabbits chewing the insulation, and help prevent mice. Iv decided to put wire, then insulation, then wire on the botton half of the shed to make it even harder for mice to get in.