A new method for building a underground gas storage well for high-pressure gas is provided, which is characterized in that: a long spiral drilling machine is adopted to drill a cement slurry protection wall, and; a specialized squeeze roller is adopted to press an integral well cylinder into the pore of the cement slurry till the solidification of the cement slurry. The squeeze roller is provided with a gantry frame structure; a pressure applying beam is provided at the middle of two slideways of the gantry frame; a pressure applying winder pressures the pressure applying beam to press the well cylinder via a travelling block unit; an lifting winder lifts the pressure applying beam fore reset. This method feasibly adjusts the ration between the diameter and length of the well cylinder, enlarges the volume and greatly reduces the difficulty and cost of well construction by changing the method of drilling deep hole in bedrock into the method of drilling the hole with appropriate depth in soil layer. In addition, the integral well cylinder can withstand various tests on ground, thus eliminating the leakage stage during the connection between a plurality of long well cylinder section and a plurality of adapters. Therefore, the invention enhances the reliability of a cement corrosion protection layer on the external wall of the well cylinder, elevates the pressure resisting intensity, improves the gas storage volume and prolongs the service life by adopting high-strength steel wire (or other sorts of high-strength fiber) to wind and reinforce the well cylinder.