I used to work for the leading supplier (and manufacturer) of safes and vault rooms for the jewelry industry, Empire Safe Company. Empire was founded in 1904 and is still family owned today.
It is imperative that anyone looking to protect their collection speak with Richard the CEO of Empire Safe Co. He is the hands-down security expert in the country when it comes to safes and vaults.
800-543-5412
http://empiresafe.com/
He will educate you if you want to be educated, he will sell you a quality safe if you just want to be sold...
You can purchase from a retail store (like home depot) but be very careful with safes and vaults... you get what you pay for and you want to work with an expert.
PS: Be prepared to spend some money. A real safe costs real dollars, most people do not think of this insurance properly... think of it as a percentage... what percent of the collection value will you spend to protect it?