Choose a location for installation that will not draw attention to itself. A closet wall is an excellent candidate. So is the wall behind a bed, bookcase or other large piece of furniture. Avoid installing a safe in an obvious area, like behind a picture frame or mirror. These are places that thieves will look first.
Locate the studs in your wall with a stud finder, and mark them with a pencil. Draw a 14 1/4 inch square between the studs using a metal yardstick or tape measure.
Cut out the square with a drywall saw, being careful not to hit any wiring behind the wall. If you do find wiring, you may want to choose a different location rather than reroute it.
Shim the left and right edges of the cut-out square with 1/4-inch plywood. Set the shim against the stud, check that it's flush with the edge of the drywall, and hammer it home with finishing nails.
Open the door of the safe, leave the key in the lock and lift it. Set the bottom edge into the opening and push gently to settle the safe into the hole until its edges meet the wall. The outside edges of the safe will cover the cut edge of the opening plus an inch or two.
Screw the safe into the studs with the screws included with the safe. The screw holes will be located on the left and right sides of the safe. Screw them in with an electric drill until they are good and tight. Install metal shelves and store your belongings.