I built my shop in an unheated barn. The shop itself is an enclosed and insulated space, about 12x24 ft.
To address humidity, I bought one of those wheeled dehumidifiers with a tank and a hose hookup. It's plugged into a timer which runs for an hour twice a day at peak humidity times (2-3pm, 3-4am around here). Costs very little by way of electricity.
Winter turns every hunk of metal into a condenser. I put a cheap oil-filled electric radiant heater from the hardware store, keep it on the lowest setting. Keeps the shop at 40F, and again doesn't eat up much power. I no longer walk in to machines dripping with water. Some people put electric coffee cup warmers under or in their machines, but I haven't found those to be terribly effective.
On top of those systems, I filled a sureshot mister with Bob Korves' version of Ed's Red (basically ATF, odorless mineral spirits, and lanolin), and use that periodically (maybe once a month). Search around for forums thread on lanolin and you'll find a lot of discussion on different rust prevention approaches.