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The following steps assume you are using batt insulation. If you are using sprayed-in foam, skip to the foam section.
Normally (non wine room) one buys "Kraft faced insulation," which means that the insulation has Kraft paper glued on one side, which acts somewhat like a vapor barrier (but no where as efficiently as poly film). The paper side is generally installed against the inside wall of a house.
In a wine room, we reverse the vapor barrier, installing it on the outside wall, away from the wine room. But we have supplied this vapor barrier already, so we don't need another one; thus we use unfaced insulation.
Naturally you want the most insulation possible for your wine room, since you are cooling the room (perhaps) to 20-25 degrees or so less than surrounding rooms. The controlling factor is the thickness of the walls, because the depth available dictates which commercially available batts of insulation will fit. We'll repeat the table we showed earlier.
* Read about comparing R19 vs R21
Thus you can buy insulation for various depths, and in some cases you can find specially manufactured insulation with an increased R factor for the same depth. In general, the rule is that each inch offers 3 R's worth of insulation.
Sometimes it is hard to find the thickness of insulation you want unfaced. If you absolutely can't find unfaced insulation, you have two choices:
Keep in mind that you can't increase the R value of insulation installed in a given space merely by installing a higher R value than the space allows. In other words, don't think you can increase your R value to R19 in a wall of 2x4s by installing R19 where only smaller sizes are intended to fit! In fact you defeat the insulation properties by compressing it -- so don't. Match the R value of the insulation properly to the amount of space available. As long as the insulation is unfaced, however, you can combine batts of the same or different thicknesses to achieve higher R values in a given space.
Be sure to fill all cavities. There may be some odd places where you have to cut and stuff in insulation, but do be sure to fill all gaps, taking care not to damage the vapor barrier. Any nicks in the vapor barrier should be repaired using duct tape or some other method.
It is possible to increase the amount of insulation by adding insulation sold in the form of fiberglass boards. Since we have no personal experience with this technique, we will not discuss it further.
If you want to know the R-value of various materials, see this R-Value Table from ColoradoEnergy.org.
You can also spray foam insulation between studs instead of using insulation batts, though this is generally more expensive. It may even be possible to inject the insulation into existing uninsulated walls. However, if you use sprayed foam, it is essential that it be closed cell foam, and that you do not scrape the foam on the outside wall after installation, because that will "open" the foam and it will lose its vapor barrier characteristic (the skin that forms during curing).
And now, let's continue with Step 9: Install walls, ceiling, floor.
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