How can a ventless (gas) fire box be put in a wall safely?
Since you already have the ventless appliance, you should have a carbon monoxide (CO) detector in your home. Ideally, there would be more than one per floor with detectors located near the primary inhabited areas.

Under ideal conditions, both propane and natural gas (since you didn't specify) will combust to produce pure water (H2O) and carbon dioxide (CO2). However, this is rarely the case, even in ventless-rated appliances. Typically, the combustion is not ideal, and some small amount of CO is produced, but is not of a level high enough to cause health concerns. Most homes are not 100% air tight and there is enough air exchange to prevent CO build-up.

The largets concern with placing the ventless appliance in the wall is going to be trapping the combustion gases. Trapping the CO can cause a significant build-up of CO in an isolated area which could cause health concerns or even death. Trapping the H2O could provide an enviroment suitable to mold growth which can pose a health hazard. 

If you are determined to install this ventless appliance in the wall, you will need to ensure that the appliance receives sufficient intake air to maintain complete, ideal combustion, and that combustion gases are vented into the room rather than into the wall. Whether or not this is possible will depend on where the intake and exhaust vents are located on the ventless appliance.

Please consult the owner's manual for any warnings before doing any work or modifcations.