In deference to some opinions, CMUs are not the way to go. They are weaker, and you can see how easy they break (watch karate guys, LOL). Tilt wall construction is ok for big stuff, but a real PIA, on the residential level. I have built over 3 dozen concrete homes as a builder, all in the last 10 years. By far the easiest, and strongest are the ICF's. They are basically Styrofoam forms you pour the concrete into. I have had real good luck with the PolySteel brand. We have built whole houses, safe rooms, vaults, etc with these things. They are big boy legos in how they go together.
I would consider first building the entire house (exterior walls) out of these with your vault integrated into the design. As far as comments about putting steel in them. Trust your engineer, they will tell you what size, spacing, etc on that stuff. Building codes will generally apply as far as electrical and HVAC. The holes you make to route the mechanicals inside your vault will not be large enough to compromise the security. Be leery of putting a dehumidifier inside a closed space with guns. Getting the humidity below 50% will cause more damage to your wood, than the benefit from adding protection to your metal. Museum guys have the proper numbers for long term storage of firearms.
A good architect will be worth his fee. Even if you have a design in mind, he will put it in a format that the regulating authority will like, the engineers will like, the contractors will like and it will make your life easier.
Check out the ICFs, Insulated Concrete Forms. Most of these companies will help you with the design at little or no cost, or provide plans. I have personally used the first three companies listed below. Almost used the Owens/Corning product, but lost the bid
http://www.polysteel.com/
http://www.eco-block.com/
http://www.rewardwalls.com/
http://www.quadlock.com/
http://www.foldform.com/
This group is here to help you.
http://www.cement.org/homes/
As an added benefit, you can't find a more solid structure with a better energy saving potential. The additional cost is usually made up in a couple of years with energy savings.
Good Luck.