As Arch says, one of the most important security measures is making it look like there aren't any security measures thus nothing worth nicking.
Apparently, it will be
possible to nick your bike whatever you do. However, you can make it very, very difficult - so difficult it's not worth it. What you want to ideally do is to increase the difficulty level such that heavy duty power tools have to be used, and it's going to take at least 5 minutes.
But bear in mind that if your shed is wooden, then any security measure is only going to be as good as the strength of the walls of your shed! You don't want to come back to find your bike gone and a hole has been sawn in the wall where your anchor was attached to...
Concrete, on the other hand, is a bitch to get through. I'm thinking of getting one of
these for my flat and a motorbike chain, I'd say it would probably be perfect for a shed.