I know almost zip about cactus, however, the area I live in has cactus and it can take pretty cold weather. Now whether your cactus can take 20º temps will depend on what it's kind of cactus it is. If you know the name of it that would help or a pic will work too.
I live in a deserty area and it never gets below the 30's...
As BCK says, it'll depend on what kind of cactus you have and how long you're going to put it in the shed. If you have to do it insulate them - maybe in a cardboard box stuffed with some paper. Is there any other place you could put them? Attic? Under the bed?