Will the concrete slab in a partially heated shed conduct a lot of heat to the unconditioned area?
I'd have no concerns about doing what you describe. I've seen it done many times here in frigid Minnesota. Build your walls (using treated lumber and suitable nails where it contacts the slab), insulate the walls and ceiling, and line the entire thing with 4 mil poly sheeting. 

Yes, you'll lose a bit of heat through the floor, but since your heat source is above the floor it won't absorb much anyway. The cost inefficiency is negligible unless you're extrapolating out a few decades. The primary sink isn't the connection to the unheated slab area anyway--it's the ground. The old barn slab almost certainly doesn't have insulation under it. 

You could always overlay the floor between the walls with foam and plywood or one of the ready-made subfloor products if you wanted maximum energy savings. 

Have fun with your project space. I'm envious. Just don't asphyxiate yourself with homebrew heating equipment.