A pen is good because they could have lots of space, but I think they'd also need some kind of little house/hutch for winter for them to snuggle up in and keep warm. Maybe something like this?
http://www.zooplus.ie/shop/rodents/cages/rabbit_hutches/natura/126793
It's off the ground so it's good, and you could put in a little cardboard or wooden box filled with hay in winter, because it's good for them to have as small a space as possible to sleep in when it's cold so their body heat can stay in it
Is there a window in the shed for light? With my shed there's a perspex window but in summer it'd get really really hot so I had to take out the window, and put wire across the window, to let in some air, and I have it so I can put the perspex back in on colder nights and for winter.
You could also think about insulating the shed for winter, which is quite easy to do I think, there's probably threads about it on here somewhere
If you want them to have the whole shed, if they're that lucky
then you could just put something across the door of it to stop them running out when you open the door. I have a piece of trellis with wire mesh over it, it's about 2ft high and it just stops them running out (well I have bunnies in my shed!). You could also think of building a mesh door inside the main door of the shed, so you can open the door on nice days and they can get more light and cool air.
I have my guinea pigs on shelves in the shed, so that's another idea. Here's a photo.
We made two shelf cages (6'X2.5' and 5.5'X2.5') and used trellis (30cm high) and wire for them and they're open topped.