More and more, heat pump technology, especially of the MiniSpilt type, is getting more adept at dealing with colder temps. Mine has a pretty good number around that...something like 5ºF. Yes, not as efficient, but for a shop, likely workable. But this type of unit is relatively expensive for a small shop situation; the unit can be had for reasonable cost, especially a small one, but even with a "mostly" self install, HVAC expertise and gear is required to get it up and running finally.
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The most expensive tool is the one you buy "cheaply" and often...