The Safe House will give you extra defense to your skills and the amount will get higher as you upgrade the safe house , Also it will not count to your building limit so you dont have to worry about need to buy expansion.
Many players still dont have it so do i so i dont have all the info yet
To build it you will use some Aluminum , Siren , Security Badge and later on you will need Radio , Alarm Bell and Kevlar Plate

** UPDATE **
I think every one can now build the safe house
When you log in to mafia wars 2 you will see the following pop up

Then you get some info about it from a shady person



The mission you get is pretty simple and easy

To finish the safe house you will need 2 of each : Siren , Aluminum And Security Badge

Thats it you now have your Safe House in mafia wars 2 :)
Now as you upgrade it you will gain more 3 defense points for each level
Safe House max level is 24 - this will get you 79 Defense!
Here is some photos of the upgrade parts needed to each level and how much defense it gives
(click to zoom!)
Level 1 To 2

Level 2 To 3

Level 3 To 4

Level 4 To 5

Level 5 To 6

Level 6 To 7

Level 7 To 8

Level 8 To 9

Level 9 To 10

Level 10 To 11

Level 11 To 12

Level 12 To 13

Level 13 To 14

Level 14 To 15

Level 15 To 16

Level 16 To 17

Level 17 To 18

Level 18 To 19

Level 19 To 20

Level 20 To 21

Level 21 To 22

Level 22 To 23

Level 23 To 24
