Dan,

If you are going to run individual wires in the conduit out to the
shed, why not complete the conduit run from your stub out (or
down) to the pipe going to the shed and use the individual wires
for the entire run?

The junction box for the shed conduit is about 40' from the main electrical
panel. For cost and ease of installation, I'm opting to use romex between
the panel and junction box.

Anthony