Step 1:
Clean out the closet. Use a razor knife to remove the carpet and a hammer to remove the tack strip so that you have a concrete (or wood) floor in the closet.

Step 2:
Use a stud finder (or a hammer) to locate the studs. Mark them onto the foam insulation as you cover the interior of the closet in foam. Do as much cutting as possible outside so that you don't make a big mess. Secure the foam to the walls using drywall screws.

Step 3:
You can build the shelf braces out of 2x2 or you can buy them. They are usually affordable enough to just buy. The should be about a foot between each shelf and 10 inches between each side rail so that a 10" plank can slide into them. Cut the back brace down by 1" so that it leans backward.

Step 4:
Cut the planks to the length of the closet. Place them in the braces and maneuver them into the closet. This can be tricky. Line the braces up with the studs in the wall and secure them to the studs using long screws or nails. Make sure they lean back a little before securing them. This is a security measure to prevent bottles from sliding out.

Step 5:
At this point you will notice it looks like 10" x 12" cubbies, perfect for storing groups of bottles. If you try to put wine in it at this point it will turn sideways so cut a piece of 2x4 to fit into each vertical section. Secure these with small nails.

Step 6:
Now the only thing to do is to fill it with wine. Remember, it will only help to maintain a stable temperature so outside the closet, try to keep a constant average temperature, between 64 and 72 degrees.