For $R>0$, we give a rigorous probabilistic construction on the cylinder $\mathbb{R} \times (\mathbb{R}/(2πR\mathbb{Z}))$ of the (massless) Sinh-Gordon model. In particular we define the $n$-point correlation functions of the model and show that these exhibit a scaling relation with respect to $R$. The construction, which relies on the massless Gaussian Free Field, is based on the spectral analysis of a quantum operator associated to the model. Using the theory of Gaussian multiplicative chaos, we prove that this operator has discrete spectrum and a strictly positive ground state.