I have been looking into doing something similar. Have seen some nice results around by people who have used Refrigerated (Cold Room) panels.
They basically have all the insulation you need if you are for example in Queensland, where most the houses have next to no thermal mass.
Chuck a Fondis unit or similar in and plaster board it up to minimise the industrial cold room look. If it's in a walkway use a double glazed Argon filled door so you can view your precious wines as you walk past.
This is exactly what I have. My cellar is dug into the ground with insulated concrete and cold room panels, with a double glazed magnetic glass door. Whilst it does smooth out the temperature variations, you still need cooling - especially in warmer climes. Be aware the 24/7 refrigerated rooms use a lot of power! Does the job quite nicely though.