put 2 walls behind the workbench, and 1 more on each side of it, making a small U shaped thing. Now slap a roof on that, 4 pieces, from the 2 connected walls (first ones I said), roof off that over the bench and then one more off that roof same direction.
it should now be a true shelter. When its done you can 'use' it and get the crafting menu:

https://steamcommunity.com/sharedfiles/filedetails/?id=2776209138