I currently have 3 piggies, they are in my bedroom at the moment. I was thinking about cleaning out my shed and putting them there. I am going to add lights,a new wooden cage, a small heater, a shelf for food/appliances, and a window. I thought this would be a good idea because the smell would be gone and it is more quieter/peaceful for them.
I think you will find overwhelming opinion that you should keep them in your bedroom instead. Once you move them out of the house, they will not have the interactions they had before. Illnesses can be missed. Heaters in out buildings can cause fires, too.
I would explore ways to make their home better in your room. If you are concerned with odor, experiment with different beddings and change more frequently. www.guinealynx.info/bedding.html
Ditto what has been said. We keep three of our guinea pigs in our living room, and the other two are in a room where they can still see and hear us and vice versa. No odor, and we enjoy the regular interaction with them. I'll never understand why people have pets if they don't want to make them a part of the family. Putting them in another room in the house is one thing; sticking them outside in a shed is, in my opinion, a pretty lousy thing to do.
I agree with everyone else that they should not go in the shed. If odor is a problem, you maybe need to rethink what you are using for bedding or how often they are getting a cage cleaning. I once had 26 pigs in one room (fostering) and there was no odor problem. I did spend some three hours a day taking care of their needs and most of that involved regular cage cleanings for all of them. Of course, if you are talking about the smell of hay, you can't get around that. It's a given.
We sold our house and the realtor complimented us that he had never smelled a thing, although he was afraid he would at the start, as it would compromise selling the house. I would never put them outside myself.