See this news item Oklahoma tornadoes: Aboveground shelters stood up in face of EF5 Moore tornado It provides some facts and figures on how these shelters protected people. This is important because not everyone can build an underground shelter due to soil conditions or their economic status. Retrofitting an existing room/closet/pantry is a great way to go as an alternative to an underground shelter. I think that if you have a basement putting a shelter there that is anchored to the foundation is the way to go.
As noted in the article, pay attention to the quality of the door. It is not an area you want to skimp in when building a shelter.
Lastly, I watched a news item about a women who "came out of her shelter" before a tornado was over and was lifted up into the air and then pulled back down by her husband. Stay in the shelter until you know it is totally safe. A few more minutes is not that much of an investment in being injury free. You have the shelter -- use it!