Turning a Shed to Gym
Ok look, you live in the south like me and I am an insulation company owner in the south.  So a few options.  If the building is wood...do not use spray foam unless your attic space is designed for spray foam.  Essentially a spray foam building has attic spaces designed for the moisture removal.  And most buildings are not designed for this.  If your attic is air conditioned go for spray foam.  If not then you need to stick to the guidelines of your construction.  If you have metal walls then you need a vapor barrier with a 1 inch minimum gap between the metal and the vapor barrier and the wall leads up to a ventilation exhaust out the roof.  Then place your batten insulation in the wall and use what ever wall medium you wish (paneling, drywall, whatever you wish).  The air gap between the exterior wall and the vapor barrier leading to a roof vent is the key as that removes moisture and condensation as well as adds to the R Value of the insulation you install.   For a 4 inch 2x4 wall you need R13 and no more as stuffing an R19 reduces the effectiveness to R11.  So stick to the wall cavity recommended levels. R11 is a 2 inch wall, R13 is a 4 inch wall, R19 is a 6 inch wall, R30 is a 10 inch wall.  Hope this helps as Im a pro!