I would certainly report it to the Police and claim off your insurance. Does the shed have a window? Were the tools on show? It is worth covering or misting the window - e.g. attaching opaque plastic on the inside.
Dunno what to do to make it any securer, its only a normal wooden garden shed, there is only so much you can do with it...
First rule of OcUK AKRU is never talk about OcUK AKRU!You should booby-trap the shed. The burglars might come back in a few weeks hoping to nick the stuff you've replaced. I'm sure the OcUK Armed Keyboard Response Unit will advise suitable methods.