I think pulling dry wall is overkill. Added work and cost. You want the barrier between what ever you want to put up to stop the humidity from leaking out. I have read the bottom of cheap humidor is the main reason they don't hold humidity well. They are too thin and humidity passes thru it. True? Idk but a barrier to help hold would be good. As for nails or staples I think the holes you may lose some humidity but should not be enough to matter. Nails or staples will cause less damage if this is ever removed.

If you go sc on walls what wood are you going to use for shelves? Sc or something different. I would rather have sc shelves and a possible different on walls.