I've got an alarm on my shed that cost me $9.95 at the post office. It's simply a sensor and a magnet. When the 2 halves are separated, all hell brakes loose. It is LOUD!!!!
I guess there's no reason it couldn't be adapted to fit with one half on a bike wheel and the other half on the floor/bench etc.
I've also got a simply system of a square rod through both the door frame and the shed frame with a pad lock on it. So to get in my shed you need the door key, the code for the padlock and the code for the alarm. Total cost maybe $40.00 max.
It still only takes me 30 seconds to get in though and should be enough of a deterant.
Plus I've got excellent neighbours that would come running if they heard that alarm.