Gas heat is cheaper than electric heat typically, so a small forced air gas furnace would heat it cheaper than the thru wall electric I first suggested. However you have the cost of running a gas line. plus the cost of buying and installing two units that you wouldn't have with a thru wall combo unit.
I'm in the midwest and keep my garage at the lowest setting, approx. 40-45F, which is plenty warm for vehicles, etc. If I'm doing a project out there, I crank it up accordingly. Anytime you open a garage door, you lose a lot of the heat or cool in a hurry and your unit will run a bit recovering, so you need to get in the habit of getting in and out with your vehicles quickly and not leaving the overhead door open very long.