How do I retrofit insulation to a brick outbuilding?

I have a small brick outbuilding that the previous owner finished off very quickly to a minimum standard. My own mistake in not clarifying what "finished" meant. Plastered with no electrics or sockets or lights.

Anyway, I feel like it has zero insulation. In the winter it very quickly drops to the same temperature as the outside, even with an oil radiator in there. It doesn't seem to retain any heat. Other than me sitting in it wearing a hat, coat and scarf for 4 months of the year which I've done the last few winters, is there an good way to retrofit some type of insulation?