Best way to weatherproof OSB
There's no such thing.  OSB will swell, warp, and degrade unless it's kept safe from sunlight and perfectly dry. No paint will do this. If you want to use OSB to sheathe the walls of your shed, you need to build those walls like the walls of a house: with a weather-resistant barrier like Tyvek over the OSB, and then cover that with siding of some sort. Vinyl siding is cheap and DIY-friendly.

If you want to build a shed out of a single material without needing to do any of this, I recommend concrete blocks.