I haven't done it yet, but I've always had basements (you'll never go back once you've had one). My next house will be the last, and I'll surround the safe room with rebar-reinforced concrete that is built around the safe's door frame. Also by having it concrete-encased in the basement, I'm hoping to fire-proof it. I'm envisioning a bit of a man-cave where I'll have room to mount my favorites on the walls.
This should be a fun project for you. I know that I'm looking forward to it!