Heat rises so the most bang for your buck will be in insulating the ceiling. I would lay the rolled fiberglass insulation across (perpendicular) to the rafters and then staple a vapor barrier (plastic tarp) to the underside of the rafters.
I would then insulate the walls, however if you cant then just staple plastic tarp over all the walls, a heavy plastic tarp should be sufficient as a door to contain the heat in your work space.