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Underground cellars can be as complicated or as simple as you want them to be. The simplest way of installing an underground wine cellar is to buy one pre-built with stairs, lighting, temperature control and shelving already in place. With a hefty amount of concrete and a knowledgeable contractor, you can build your own wine cellar under your house.
For the novice builder, it's simply a matter of diligence and hard work to build an insulated wine storage room into your concrete basement. In all cases, you want to make sure you have your room very well insulated with vapor barriers and a well-sealed entryway so that you can easily control the temperature and humidity of your cellar space. A good reference source for a do-it-yourself wine cellar is the book How and Why to Build a Wine Cellar, 3rd Ed. by Richard M. Gold, Ph.d. Dr. Gold goes into the details of how temperature and type of soil effect your underground cellar and gives hundreds of great tips on wine preservation.