We finished building our first wine cellar in 2007.  It is located in the closet under the stairs and can keep up to 1000 bottles at a constant temperature of 54 degrees.  So with an empty closet and the desire to build a wine cellar, we set to it.  The first step was to remove the drywall and run the wiring that would be needed. The most important step is to properly insulate all of the walls as well as the floor and ceiling.  Next we installed the sheetrock which was twice as thick as normal to help keep it insulated.  After mud and sanding, we were ready for paint.  We textured the walls to give it the look of an old cellar.  We used slate for the floor and insulated the door as well.  The wine racks were finally ready to be built and installed.  We used wine racks from a company called IWA (International Wine Accessories), which happened at the time to have a warehouse here in Dallas less than three miles from our house.  We also bought the cooling unit from IWA.  If you are interested in building your own wine cellar, their website is iwawine.com.  The racks were fairly easy to assemble.  We used mostly the individual bottle holders, one diamond cube, a magnum holder, and a case holder.  There is a bar area, three countertops, and we curved the racking at both ends so it remains one piece.  The final step was installing the lights and cooling unit. Building this first wine cellar was fairly inexpensive and well worth it.