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Budget vapour control layers (vapour barriers or VCLs) are just robust plastic sheeting and can be bought in most builders merchants e.g. Wickes. More expensive stuff comes from people like Tyvek, and has certified performance to allow you you to get things like Passive House accreditation.
To install you basically roll it out over the inner face of your stud / insulation infill wall and staple to the studs. Overlap the joins by at last 150mm and ideally tape the overlap. If you run any cables etc through the VCL then make sure you tape up the penetration to seal the holes. Then just fit your plywood over the top.
You will definitely need to put a VCL on the ceiling side of your roof buildup.
Basically all the activity in your workshop creates moisture in the warm air - particularly if you have a gas heater. This moisture will condense out of the air wherever this air gets cold enough, such as on the surface of your windows. If you don't put a VCL in your walls etc, then the moist air will infiltrate your wall buildup and condense somewhere in the middle of your insulation. The result will typically be saturated insulation in your walls and roof, damp problems and a cold workshop.
As an aside, one other advantage of the Kingspan is that it comes with a foil face that can be put on the inner face and taped to your studs to create the VCL. If you're lining out with plasterboard, you can also use a foil backed board as the VCL.