Ok, defense in depth it whats needed.
First, secure the perimeter. Make sure the garden is secure, and you have anti climb paint paint slathered atop walls or fences. Some people use carpet gripper rod , but I can't condone that
Scu bags cant burgle a building that they can't even get to.
Second, if someone gets in the garden you want to know about it. PIR detectors that ping alarm in the house are cheap. A wifi camera that talks to your mobile phone is also quite affordable now, and alerts you wherever you are in the world. A scumbag can't burgle a building if you're on to them.
Third, stout and multiple locks on all points of entry. Don't forget the hinges can be vulnerable. A scumbag can't burgle a building they can't enter.
Fourth, an alarm on the shed. They may be a faff, but not as much as a faff as having your property stolen. Faffing is something you gotta do - you're either serious about not having your gear stolen, or you're not. If it's a hassle for you then it's a serious pain for a thief. A scumbag can't hang around to burgle a building if you've been alerted to their presence.
Fifth, ground anchor or similar means of immobilising the bike. Make sure any electricity to the shed is shut off when you're not in there, stops them using your lights to see or your electricity to power their tools. A scumbag can't steal what they can't move.
And that's it. Do all that and few thieves will successfully get past all 5 layers of security. If you've done it right they won't be able to get past level 2 without you knowing about it. If you're that worried that it really is a problem then you'll do all this. Half measures you may as well not bother. Fiddling with locks and alarms is time consuming, but not as time consuming as walking everywhere when your bikes has vanished.
And once you've done all that get your bike properly and visible marked - a recent survey among convicted sheets shows that Smartwater has a greater deterrent effect than a police officer being nearby. Photograph the bike in detail, and log down frame numbers. The number of people that had their bikes nicked, spotted the bike (kr parts of the bike) on
eBay or Gumtree but were then unable to substantiate that it was theirs is rather high.