Hi, just thought i would add a few points.
Others have already covered the main areas. The best thing is to not let people know you have them, be vigilante when getting your bikes out and putting them away.
As far as a theif proof shed, there isnt one, only thing you can do is deter them. I will start from the outside working in. Lights are good, but can be bypassed. Locks are a good deterent also but a lock, or hinge as some have suggested is only as good as what it is attatched to. Why would you try to break or pick a lock when you can simply and quickly cut the wood it is attached to? a lot of locks? simply cut around the hinges and open the door from the other side. A lot of locks and invisible hinges, cut a new door in the side. Others have said take the roof off, also easy. Even easier and quieter is to burn a hole in the wood. The reason some of my friends have metal lined sheds for their motorbikes.
You can never make it secure if they want to get in, there is always a way. You can only deter them.
Inside they will go for the easiest/quickest target, again, deterent is the key. You mentioned cround anchors, only good if they are fixed securely into the ground, obviously. Most chains can be cut suprisingly easy, there are a few good chains though. I have always used English chains probably the best i have found. A chains weak point is where it meets the lock, so a good lock is vital, cant remember the make of my locks at the mo, will check in a bit.
Of course as stated earlier, they still will take it if they really want it, chains n all.
Mark