IMHO, I think a pellet stove would be overkill in your area, unless you want the temperature to be 70+ no matter what the outside temperature is. I live in Washington State, where we get cold winters, where low temps are routinely in the low 20s in the winter, with dips to 10 degrees or lower infrequently.
Since I am working in the shop, I don't want to heat it to 70 degrees. I prefer somewhere between 55 degrees and 65 degrees, depending on how active I am going to be while in there. I have a coat and an apron on, so that is additional insulation. My first recommendation would be to determine your room's insulation. I had metal garage doors and those just sucked the heat out of the room. Insulating them made a significant difference. After that, I have both a kerosene heater and an electric heater. The electric heater puts out 1500 watts and the kerosene heater puts out 22,500 BTUs. If the outdoor temp is around the low to mid 40s, the electric heater alone will bring up the temp nicely. If the exterior temp is in the mid 30s, then the kerosene heater by itself will heat the shop. As the temps get down into the low 20s, then both are needed, and they have to be turned on well before I actually want to enter the shop to work. Also, I have an oscillating fan, which I keep on low, to keep the air circulating. If you want to section off part of the shop for heat, then I suggest using heavy plastic curtains. I have used them to heat smaller sections of my shop and also to keep those same sections cooler in the summer, when A/C was insufficient to cool the entire room. I hope this helps.
