I don't insulate my boiler building at all,, I may be loosing some heat to the building,, but it is enclosed, no wind, etc.. If you want, just insulate it like an average room,, R13 walls,, R19-30 ceiling... But provide windows for fall/spring ventilation. it will get hot in the room otherwise..
In the garage,, the small amount of heat lost to the garage will make your vehicles happy!