Definitely ceiling first (heat rises!). I have a similar space. I was fortunate to have the garage walls and ceiling just studs when we moved in last year, so I was able to put in R13 faced on the walls and R19 in the ceiling. My G73 heater runs very little to maintain heat in there and can cook me out if I turn it up.
btw, my doors consume one wall and are also thinly insulated, but don't seem to be a factor. Make sure you seal any air leaks you can find. If you insulate both walls and ceiling, your heater wil heat that space well.