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There is a handy loophole where you can connect an IP66 exterior socket on the outside of a wall if it's directly connected to a socket inside. i.e. no exterior wiring. So if you have a socket on the inside of an exterior wall you can drill through the back of the back box, pass the correct size wire through and mount an exterior socket. That should be RCD protected but this can be done with an RCBO in the consumer unit by a competent installer.
That's exactly the set up I have, thankfully. The exterior socket was fitted by the electrician when we got our main CU replaced and the wire comes straight out of the wall into the back of it. When I swapped the socket for an RCD one (again, at the advice of a grown up), I didn't have to touch the back box or any of the wiring coming out of the wall. Same brand socket so was just a straight swap like an internal socket. Nobody really needs to know I did that.
stevo_com-
One the one hand you can never have to many RCD's, on the other there can be an issue when you have more than one RCD that you don't know which one will operate. During the course I took the teacher was quite keen on only having one RCD in each circuit.
These days the regs all point to RCBO's or AFDD/RCD combined per circuit in the consumer unit. It's now unlikely that anyone will have combined circuits in a single RCD because the combined earth leakage would be too high.
AFDD - Arc Fault Detection Device
Airhead
As long as the extension lead is 'temporary' you can run a shed off a socket indoors. The sockets near to the garden should all be protected by RCD if the consumer unit has been installed in the last 20 years. If not then use a plug in RCD and plug your extension lead into that.
Temporary means you can't fix the extension lead to anything like a wall or fence or bury it in the ground.
There is a handy loophole where you can connect an IP66 exterior socket on the outside of a wall if it's directly connected to a socket inside. i.e. no exterior wiring. So if you have a socket on the inside of an exterior wall you can drill through the back of the back box, pass the correct size wire through and mount an exterior socket. That should be RCD protected but this can be done with an RCBO in the consumer unit by a competent installer if your installation is so old that you don't have an RCD.