I bought some lengths of steel bar to make window bars. Drilled the joists and threaded it through. Replace any visible screws with coach bolts - hinges etc, so secured on the inside, and a large, good quality hasp and padlock. Maybe put some ground anchors inside to lock bikes etc too.
Basically if its a wooden shed if they want in they will get in but make sure they have to use power tools and/or make a lot of noise.