I think a shed is a good idea, if it's insulated, unless you're somewhere moderate in the winter. I've been looking for sheds too, even used ones, and the wooden ones are insanely expensive! Don't know ow many you have but I've got 11 Indian Runners and 7 Call Ducks. I was hoping for a 12' X 16' and to make the actual pen 12' X 12' but have 4 ft of storage space. The biggest issue I worry about isn't the winter cold, it's the brutal summer heat here. I've even been thinking of using a fan in the top vent like we have in our barn, to help suck in the cool air and get rid of the hottest air.
There's a place on youtube called Carolina Coops that has coops to die for. I'm sure they are over 10K, but look like they'd last 30 years or more if cared for. Maybe for my 30th wedding anniversary.....LOL