You can do that if you choose, but it is not as effective as drilling the slab inside the garage. This is because the garage is a separately poured slab, meaning the termites could come from deep underground and come up to the surface under the garage slab, and enter the wall where your door is going into the house untouched. You don't have to drill every wall in the garage, just the walls that are not exterior walls, where you have living space on the other side of the garage wall and apply Termidor. So it is a personal choice, but drilling the garage walls is the best way to protect all entry points.
You should perform a liquid termite treatment in the ground to get the termites where they are entering the shed. To perform a treatment just as a professional company would do, please read our How To Do A Termite Treatment Article which explains exactly how you should treat your home properly. Doing a treatment like what is described in the article will not only take care of existing termites that you have, but it will also protect and prevent future termites from entering for about 7 years. Even though the article talks about a home, the shed is no different. You should dig a trench around the structure as described in the article below, as well as try to trench around individual supports under the shed if possible, if any exist.
Here is a a link to the article: http://www.domyownpestcontrol.com/termite-treatment-c-3_352.html
Please let me know if you have any further questions.