Supposed to be pretty cheap to run.
Depends. Doesn't matter what you plug in, unit price of electricity is shocking.
If you get a 3kW (3,000W) oil heater then it's most likely going to be switching on and off controlled by a thermostat to keep the room at a given temperature. Say it's on 10 minutes of every hour then that's 10/60 x 3,000 = 500. That is, it's the same as having a 500W heater on constantly, which will cost you about 8p an hour.
Or you could plug in a couple of those 200W tubular heaters, giving you 400W of heating. For the same temp setting as above they may run constantly as they're only kicking out about an 1/8th of the power. Still going to cost you 8p an hour to achieve the same effect.
Both of these devices are very slow to react. They take quite a while to heat up (and then cool down), but are pretty good at maintaining an even temperature over a long time. But if you want to keep your pin shack cool most of the time and then warm it up quickly when you want to pop in to play (especially in the winter) then you're better of with a fan heater, which instantly kicks out exactly what you want: hot air.
Basically, though it boils down to this: electrical devices tend to have similar efficiencies, so over a reasonable length of time it's going to cost you the same to heat a given space to a given temperature regardless of what you plug in.
And as a final tip, the best way to heat a room is to stop it from losing heat in the first place. Good insulation is way cheaper than good heating!