The Family Handy Man gives general instructions on how to build a FEMA approved safe room in your home. This cutaway view shows the two layers of 3/4 inch plywood, 14 gauge steel, and the secure steel door required for a solid storm shelter.
http://www.familyhandyman.com/DIY-Projects/Home-Safety/Home-Emergencies/how-to-build-a-storm-shelter
For additional information on how to build a storm shelter to last through high winds, check out this in depth guide from on Fortifying and Protecting Your Home High Wind Damage.