This wont be a tutorial but I will give some tips to help you build. This is a fun and simple project and there are many ways to do it.
Tip: A wine bottle is 12 inches high, cut your pallet down to not shorter than that.
Tip: Get a couple of wine glasses out and measure how many you want to hang. In this example I did 6.
Tip: Put a spacer if you plan on buying the 1.5L bottles of wine, otherwise they will NOT fit.
Tip: I used a 1 1/2 hole saw bit, made things easy.
For this look I used a Dark Walnut Stain
Tip: Put a few extra screws into the top rear board and side 2×4 boards for support, the rear board is usually where you attach to the wall and make sure you find a stud or use anchors. With all the wine, it gets heavy!