To insulate or not to insulate, that is the question? That would depend on the amount of time you plan on using the room, how tolerant you are to the temperature changes, and what amount of money you would prefer to spend?
Insulating a much used room (especially a work space) is the best way to remain comfortable and focused while occupying it. Insulating your space will also allow you to spend less on the energy it takes to heat or cool it.
Insulating techniques are varied depending on your budget and the material that composes the room. Here in the States building codes are becoming more stringent regarding minimum R- values and were it can be placed. For instance, the IRC states roof insulation (for rafters) must be a minimum of R-30 (for most N.A. climate zones).
Insulating a room can be as basic as adding weather-stripping to door bottoms and sealing electrical box gaps to the most involved upgrading windows to dual-glazing and adding another layer of attic insulation.
Most everyone would agree that no matter what type of insulation or how basic, in the long run your investment will save you money and increase your comfort-level in that particular room.