The Havahart traps are the way to go... I have one that will catch rats and one that will catch coons, opossums, skunks, cats and small dogs. They are very useful. Just tie the bait above the trigger panel so they have to spend some time getting it.
Good point about tying the food/bait. cats aren't stupid when it comes to traps :D and when in an unfamiliar confined space, will grab the food, run and then eat it when they're in a safe location.
My grandfather has one of those Havahart traps, I called him earlier to see if I could borrow it. He's gonna bring it along on monday when he stops by.
Until then, I installed a light (for heat) in the shed, put a food dish and some old torn clothes and worn out blankets in there. Maybe I'll get lucky and it'll set up camp in there. It's pretty cold and windy outside, so if anything, it'll be looking for a warm place to sleep.