Should I insulate the garage in the home I'm having built?
I would insulate it unless the cost is exorbitant.

As you have discovered, it is basically impossible to heat an uninsulated structure with just a little space heater.

Also if you are going to be keeping cars in the garage as well, having an insulated garage will keep it warmer even if you don't heat it. My garage is insulated but unheated and it is usually a good 10 or 20 ºF warmer than outside temps in the winter. The difference between a car that is 20 ºF and one that is 40 ºF in the morning is considerable.

Mine also stays very cool in the summer, so I think the insulation will help you there, not hurt you. (I bet insulating the roof/attic probably makes the biggest difference there.)