I used to have the Display Case mod but I keep forgetting to reinstall it. Mine are usually in a specially built vault nowadays. Here's the current one. It's pretty easy to see which room it is.
The artifact vault is only accessibly by going through my gem vault (notice the jeweler's workshop built from gold), which itself is only accessible by going through the weapons stockpile, which has a war dog chained outside. Most of the doors are open in this image but they are all lever-operated; the gem vault and weapons/armor stockpile are opened from the dining room, the artifact vault is accessible from a gem-studded lever in the mayor's bedroom and is only opened when a new artifact needs to be stored. The door to the artifact vault is masterwork platinum decorated with masterwork star ruby and is ridiculously valuable (12000, better than a lot of my artifacts).
Most of the stuff is just fluff, it's not like I even need war dogs when the vault is locked 99% of the time. I just really like the idea of having an impregnable Fort Knox style vault, but I'd love it even more if there was some "perfect storm" situation to allow thieves to actually raid it and be caught on the way out. Wonder if there's any way to mod kobolds to pull levers like gremlins...