I don't routinely heat my shed either, its not been necessary for the cavies or rats. But I had noticed some of the mice looking out of condition and did wonder if they were not coping as well in the cold. So I have put their cages inside some of my empty hutches for extra protection and it seems to have done the trick. But if necessary, I do have an oil filled radiator I could use out there.
Ian - you can get greenhouse heaters which run off paraffin, or bottled propane, the latter can be pricey but a good investment