Modular "Storm" Shelters

as a walk-in gun vault?

There are many vendors who offer similar products (Sportsman's Steel Safes, Rhino Vault, etc.)

A good way to protect my treasures or an easy way to get my stuff stolen???

It all comes down to the value of what is stored inside.   If you have $20,000 or less worth of valuables inside that room, you should be fine.  If you have $1,000,000 in there, it will be an easy way to get it stolen.

They do make modular "real safes" should the value of your collection warrant it.

Recommendation?

Better than drywall room, not as good as TL15 safe.
7 gauge steel walls would be better than a lot (most)of the "gun safes" you can get.  Probably as good or better than most gun safes (RSCs)

Where have you seen a modular safe? I'm fairly certain the UL would never give a TL rating to a modular system.

This kind of modular safe.

http://www.customvault.com/products/microvault.php

I believe the first small modular safe I saw was the City Safe Modul X.  




City Safe did indeed have a UL rating.  Off the top of my head, it was a six sided rating as well.  

Outside of small safes, the vast majority of bank vaults in new construction are modular, and carry UL ratings.





Next time you're at your local bank, ask them who services their equipment and get their number.  Call them and see if they do modular work.  If they do not, they can point you towards who does in your area.