I think the most important thing most people can do to protect against fire damage is be realistic about fire risks for your area.
I've lived in places where it wasn't especially unusual for fire to rain down from the sky. I remember driving around on one of those days and seeing over a dozen "unconnected" fires...a tree here, bushes there, and so on. This was in a suburban residential neighborhood. Of course the source of this was a major fire about 10 miles upwind that was throwing embers and ash that was raining down setting secondary fires. And you know what? In that area you still see piles of dead pine needles, dead brush, and so on, right up against houses. Those people have every reason to know that kindling around the base of their house is an immediate risk but they do nothing.
People are like that inside houses too. I've seen extension cords that were hot to the touch, cans of white gas (camping supplies) stored in living room closets, people who use their kitchens without any thought or plan for fire, bedrooms built above garages, and more. It's actually amazing that so few houses burn.
My general thought (I can't call it advice, but it's what I try to follow) is to identify the big risks and address them. Minimize electrical loads, have a plan for cooking fires, identify external risks and deal with them (e.g. maintain a sterile/noncombustible yard in fire zones). Do that and your risk of losing a whole bunch more than the guns goes down.
In the long run I think a fire resistant shed well clear of any fuel is the only real answer though.
