I've done the research too and really as long as its sealed very tight you'll be fine. As far as asthetics go, spanish cedar plywood is gonna run about 250 a sheet plus freight so I would panel. No pine or fir as those are very wet woods. You can use birch or oak but poly, poly, poly, and then poly some more. Home Depot has faux tile panels made of plastic that would be perfect. They say not to use regular drywall but rather what is known as greenboard as a backer for humidity reasons. You'll also not want carpeting but thats probably obvious. If you don't want the hassle of building one, buy one. Or sort of anyway--several manufactuers sell ready made wine vaults... Wine Cave being one. Just replace any racks that cant be used for cigars.
Most importantly, invest in a humidifier especially for walk in humidors and cellars. They will be much more accurate. If it gets hot where you live and for any reason you may not have the AC on all the time, think about an in room air conditioner.