Build the shed...then convert it into a sauna! The shed shouldn't be too expensive, relative to stocking a chicken coop full of chickens etc. - but the chickens will pay for themselves eventually via their eggs! One of my buddies keeps chickens in a little run that he constructed at the back of his house, it's pretty sweet and he did it for next to nothing. It's nothing fancy though.
Been looking for something like this to do - but have settled with collecting homemade/scavenged/free conditioning equipment in my garage.
Would love to have a vegetable garden with all sorts of crazy vegetables if I can ever afford a house.
I hope you'll provide us with pics of your finished projects!