I would like to install shelves in my wall. The wall itself is sheetrock. What tools would I need, and how would I go about it? I believe what I'm trying to do is called built-in shelving, if that helps.
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.
Think of your built in shelves like your cabinets in your kitchen. Your cabinets are not built into the wall, they are built separate and then put into the areas that have been famed in to hold your cabinets giving it that built in look. You can do the same thing with your wall without tearing anything down, but rather adding onto it.
First thing you would do is to find out how wide you would want your bookshelf. Standered bookshelf width is about 11-3/4 inches(the width of a 1x12). You would build you a small wing wall that would connect to your main wall on each side, or on one side of the area where you wanted your bookshelf. Sheetrock it, then build you shelves on the inside of the new area. This will give you the look you are wanting. Or you can do like the other guy said and buy you a premade bookself and screw it into the studs of your wall. That is the easiest and cheapest way to go.