The other problem that some sheds have are tech screws... Its not hard to get in. Like Pete said, if they want in, they will get in.
Deterring is the key, if they think its going to be a big risk, they will look somewhere else. This means advertising the fact you have cameras and alarms, alarms are great deterrents in built up areas where you know your neighbors and someone will check it out if they hear it, but if a tree falls in the forest and no one is there to hear it, then no one gives a fuck.
At the end of the day, if they know what they want and where it is and they think its worth the risk, they will do it. I remember when doing security, the biggest fortresses would still get hit and they're strength just meant they were lazy with how they stored valuables. It can also advertise the fact you may have valuables, it can be a double edged sword. Make it hard and you should prevail.