The vault is only seen in the episode Just One Bite. It is shown when SpongeBob sees Squidward eating many Krabby Patties in the vault, after visiting the Krusty Krab at 3:00 AM. Even though Squidward claims he hates Krabby Patties in other episodes, he becomes addicted to them in this episode.
The vault itself is made out of typical metal. On the inside there are thousands of Krabby Patties lying around and stacked on top of each other, which indicates SpongeBob spends a lot of time and effort in cooking Krabby Patties. Though a refrigeration mechanism is never seen, it is assumed the vault is refrigerated otherwise the Krabby Patties would start to expire and develop mold.