The added expense of building a quality wine cellar that includes insulation, a cooling unit, moisture resistant sheetrock, etc, needs to also include high quality doors & windows. These two items are responsible for more temperature and moisture exchange than any other part of your cellar.
Doors – Make sure you use an exterior grade door. Whether it is made from wood, metal, glass, or something else, exterior grade doors will hold in the cold best. Interior grade doors just aren’t made to keep out the heat like an exterior grade door does.
Make sure to weather strip around the entire door, and get a threshold and sweep that fits snugly against the floor. The idea here is to keep the cool air in, and the warm air out. The most common reason that a cooler runs continually is an improperly installed door. If your door is to include glass, always opt for double or (even better) triple pane, thermal insulated glass installed by a reputable source.
Windows – Same basic principles as the door. Quality insulated glass, a high quality frame and good sealant should be your rule of thumb.
You CANNOT go overboard when it comes to sealing up your cellar. Use caulk, sheetrock mud, super glue, gum (ha ha) – anything you can find to seal every crack and crevice before you insulate and vapor lock.