Once you have installed the studs, vapor barrier, insulation, and electrical outlets the next step will be to cover the walls and ceiling.  You will need to utilize material that is resistant to the high humidity conditions that will be present in your cellar and based on that criteria the most common choice for wall and ceiling coverings is water resistant drywall (commonly referred to as green board).  This is the same drywall that is utilized in bathrooms and kitchens of most homes and is therefore readily available.  It is specifically recommended that the green board be screwed into the walls and ceiling of your wine cellar. Use fire rated penetration sealant to seal around all penetrations on both sides of wine cellar.