If this is new construction you will need to stud the space to frame out your wine cellar. Start by sealing the concrete foundation walls prior to installing studs. (Stop: Review Step 4 now, if you decide to use the 6 mil vapor barrier with new construction, you must do that step during studding.  If you choose spray foam then continue on with this step as outlined.) Then use either 2x4 or 2x6 construction. The 2x6 construction is used when you want to increase the insulation value in order to minimize cooling unit size and energy consumption. This is similar to adding additional insulation to your home in order to minimize your monthly utility bills. You should obtain a permit and follow all local, state, and national building codes when building your wine cellar.