How to prevent moisture from ruining a climate-controlled wooden outbuilding
You don't mention where you live so it is hard to give specific advice.  The best suggestion is that if it will be climate controlled, it should be built similar to any other climate controlled structure in your area.  That means keeping damp, warm air away from cold surfaces, and building such that the walls can dry if moisture enters them.

If you aren't worried about energy efficiency and don't build the structure to be particularly airtight you probably won't have an issue as long as exterior claddings are built to shed water well.  But if you want to minimize the energy usage you'll want to build tighter, and then controlling water becomes an issue.  

The four ways water gets into buildings: bulk water from rain and leaks.  Capillary action: water gets drawn through porous materials.  Air transported: moist air leaks into and out of conditioned spaces through air gaps and gives up its water when it cools.  Vapor diffusion: moisture in the air passes through vapor permeable materials.   

My advice, work with a builder who knows what they are doing in terms of energy efficiency.  Do a good job on keeping water out from leakage (good singling work, good flashing, airseal gaps before the drywall is up, and if you can swing it, insulate with spray foam or Rock Wool insulation.  You can find plenty of good advice on the internet.  I recommend browsing the Energy Vanguard blog, and Green Building Advisor if you want to get a little in depth.