First, congratulations! This sounds like a really fun project. That said, keep this in mind: Electric heat is no doubt the most expensive way to heat any building. If you're planning to use this caboose year-round, you might want to rethink whether or not you should use electric radiant heat.
Another option that comes to mind is a ductless heat pump. This is also electric, but it costs only half as much to operate as radiant heat. Since your caboose is presumably a relatively small area, this might be the most efficient way to accomplish the talk. In terms of insulation, that spray foam insulation might be more feasible than you think. When those walls are stripped, you should be able to easily apply spray insulation to the interior. It comes with the added benefit of soundproofing, and is a very energy efficient insulation. I recently had Icynene spray insulation installed at my house, and the resulting impact on energy bills has been nothing short of dramatic. Good luck - and please pass along pictures when the project is complete!