Visit the website of the Federal Emergency Management Agency to accurately identify the wind zone where your home is located; this determines the required strength of your shelter. The area roughly between the Rocky and Appalachian Mountains is widely regarded to be the "tornado alley" of the United States.
Contact FEMA, and request publication 320. This pamphlet contains building plans for different styles of tornado shelters.
Inspect your home and determine the best room in which to build your tornado shelter. A basement is the best option; it naturally provides some protection from tornadoes before the shelter is built. If your home is reliant on support beams, you might need to build a stand-alone structure.
Contact a local builder to construct the tornado shelter. The FEMA booklet contains different designs suitable for all budgets. Select the shelter according to the amount of money at your disposal. Instruct your builder to comply with all safety regulations.
Buy the materials and build the shelter yourself. Follow the FEMA instructions exactly. Ensure the shelter is built according to all regulations, and provides the desired level of safety.