I think you will find that you need to keep it heated at least above freezing all the time, even when not using the shop. Otherwise condensation on your equipment going back and forth between freezing and heating will cause some serious rust problems in short order.
I agree with Shaun that a good wood stove is not a concern with the dust in the shop. You need to make sure to keep the dust under control for the sake of your lungs, heat or no heat. A good dust collection system with ducting to each machine will keep the shop much cleaner and your lungs healthy. Back it up with a dust filter as well for the small particles.
I have a small ceiling mounted 220 electric heater that keeps my shop at a constant 50 degrees even when I'm not around to feed the wood stove. There are more efficient heating methods, but that little unit really does a nice job, was cheap to install, and the bills aren't bad if I'm out there burning wood.