I just bought a 125,000 Btu kerosene heater for my 30x54 uninsulated no-ceiling pole barn and can say that it only really heats what it blows on. I will say that I have a ridge vent as well as large openings that lead from the soffit overhangs into the building so it's almost like leaving the garage door open. I know if I had a ceiling it would be much better but time and money both ran out this year. I am leaning towards a pellet stove for next year, operating cost will be much less than the kerosene heater, much quieter, safer and much drier. I would only use it when I'm working in it plus a few hours "preheating" the building. While I do have gas nearby, I don't want the hassle of trenching over 150 feet plus all the connections required at the meter. For me, $5 a weekend to heat the building will be just fine. I know some will start on the insurance issue, since I will be in the building it's a chance I will take.
With a building smaller than mine, you could get by with a smaller pellet stove as well. the operating cost would be less and having insulation it will probably be too hot in no time. Keep in mind the amount of water introduced with a non-vented system, especially with a well sealed building.