In reply to Wyre Forest Illuminati:
I have done exactly this. Bought a basic but robust 12x8 ft shed (paid extra to have it built from 3x2 timber and 19mm cladding). Its 7ft high at the eaves and 8ft at the apex. No windows, but with double doors at one gable end. Used concrete slabs from a patio for the base. No insulation, plenty of air vents high and low. To build it I essentially bolstered the existing shed frame a bit and tied it into that - i.e. its not freestanding - and its really solid.
The board is about 10ft long (2 and bit widths of ply) and 47degrees. It gets used 2-3 times a week all year round. Conditions are usually good in there and I have a fan / heated blower thing to warm it up and get rid of dampness.
A few wooden holds have developed mould, but some watered down bleach and sand paper can keep it at bay. I can live with having to replace a small number of holds every few years (haven't had to yet). The plywood panels are painted with protective outdoor shed type paint and have remained in great nick, no dampness or mould.
If you go for this approach the key is ventilation and regular use to keep it damp free.