Using wood to heat the shop could be fairly cheap fuel wise, if accessible, but other factors greatly add to the cost.
Aside for local ordinances and laws, there's the insurance issue with a high increase in premiums or complete loss of coverage if one is installed.
Options like outdoor boilers help with the insurance issue, but not regulations and they are very expensive to buy and install. I looked into one about 15 years ago. The boilers alone ran around the $10k price range and the insulated water piping was also expensive and the heat exchanger plenums.
As for plain old wood stoves, a quick search shows that a single length of single 24" length piece of wall black stove pipe (complete junk IMHO these days) from Menards runs $5.99. Add in the T-ee's, elbows, clean-outs, caps, and hangers, one could easily add $500+ to that of the stove.
Then there's the decision on running it all the time or as needed. For those of us that spend a very limited time in the shop, running a wood stove continuously doesn't make sense. If run intermittently, it's been my experience that the continued heating and subsequent cooling the machines and tools undergo results in even a worse issue with rust.
A big reason I've been looking to buy a bigger lathe is the need for a machine that can handle larger stock piece to make a pellet press.
While I believe the available Chinese made presses are both fairly expensive and total junk, making one is an option. That said, my research into the processing requirements for wood pellets is too complex to deal with. Processing and pressing corn stover is fairly easy and contains almost the same energy per pound as wood.
For me, access to corn stover is cheap, readily available, and easy to store. Burned in something like a Liberator rocket stove(
https://rocketheater.com/) with a pellet hopper allows for a once a day loading of pellets and requires no electronics or electricity.
