doesn't matter but in this order (if it were me)
Check insurance,
Check building code
secure wood stove if it's approved - some insurance companies go easier on you if the wood is the second source of heat.
Next determine where in your shop you want to install the stove, check the wood stove specs for the clearances required - most specify the distances required from near by artifacts furniture, wood, etc.
Next, install the chimney flashing - this is probably the most difficult part of the entire job...There will be two parts to this job, cutting the exterior hole in your roof, and (if your shop is drywalled or sheated) then cutting the hole in your interior ceiling. They sell these pieces at hardware/wood stove stores - you will need to check with your wood stove manufacturer to determine what size the stove will accept (most are 8" or 6" diameter) They are measured by inside diameter...Buy appropriate pieces - ensure your chimney goes 2 feet above the nearest peak of your roof. Also ensure that you buy double wall chimney (it's the only kind that is up to code anyway)...On the inside you will need an inside flashing that your chimney will attach to your wood stove. You can get a telescoping chimney that will go from your wood box to this interior flashing - this also must be double walled. Depending on your ceiling height, and your local costs, you SHOULD be able to do this job for around 2-3000 dollars including the wood stove.
When installing this stuff you must ensure that the corrugated end of the pipe is DOWN - this is to allow the creosote to fall into the wood furnace when cleaning the pipe, or to ensure it does not come out of the pipe into the house when cleaning the chimney.
To make a longer post even longer - I just recalled that you can get a woodstove that is outside - they are called "wood boilers" and you can heat multiple buildings with them. If I were able to secure a long term FREE source of firewood - this is FOR SURE what I would do. You can tie these systems in to your existing forced air furnaces, or you can run heated floors, but the beauty with these systems is you do not need to get all that double walled pipe, and you also don't have to worry too much with insurance and all the extra costs. The only cost is initial investment in the wood boiler, and mating them with your existing system.
Good luck.