How would you go about installing shelves _in_ the wall?
We need a whole lot more detail here to give you any helpful answers.

Your wall is more than sheetrock. Sheetrock is just the outer part. Inside there will be studs (metal or wood) and possibly insulation, wiring and plumbing.

As stated, built-ins aren't 'inside' walls...merely built into the house as a whole.A built-in can be as simple as buying a bookshelf, sticking it against the wall, and then trimming it out to give the look of it being originally built as part of the house. On the other end of the spectrum, you could take down the entire wall and construct a full-wall storage unit that also acts as a supporting wall.