Think we need a bit more info.
Is the shed bolted to the slabs or held down by its own weight?
By slabs do you mean paving slabs similar to those used to make paths, and if so were these laid specifically as a based for the shed or were they there as a patio?
Is the area around the shed flat, or are there any slopes falling towards it?
My initial thought is to move or carefully dismantle the shed and put down a minimum 150mm thick concrete slab with suitable Damp proof membrane on 50mm sand and min 150mm sub-base/ well compacted hardcord. If you want to insulate it put minimum 50mm PIR rigid insulation (kingspan Thermafloor or similar) under the slab with a polyethene separation layer between them. This will help protect against frost
Area of the slab should be slightly larger than the shed to give you room for error and ideally the fininshed slab level should be above the external ground level (say 50mm step).
Found this video on Youtube and there seem to be a fair few others.
As for insulating walls this can backfire if you are not careful particularly as its a metal structure. You could find the retrofit insulation increases the condensation build up leading to rust and corrosion.
Theres lots of talk about the benfits of retrofitting buildings to improve energy effiency but not alot of this warns of the consequences of getting it wrong. Seen cases were people packed their lofts with extra insulation only to find their ceilings turning black because they hadn't put in tile vents to maintain the required cross flow ventilaiton.
If the orginal building isn't designed to be insulated to modern levels, doing so can go spectacularly wrong.
Personally I think if you are really serious about using this for a gym you might find it cheaper in the long run to buy a new shed which comes with insulation already built into the roof and wall panels.