We have built and commissioned gas absorption cells for precision spectroscopic radial velocity measurements in the near-infrared in the H and K bands. We describe the construction and installation of three such cells filled with 13CH4, 12CH3D, and 14NH3 for the CSHELL spectrograph at the NASA Infrared Telescope Facility (IRTF). We have obtained their high-resolution laboratory Fourier Transform spectra, which can have other practical uses. We summarize the practical details involved in the construction of the three cells, and the thermal and mechanical control. In all cases, the construction of the cells is very affordable. We are carrying out a pilot survey with the 13CH4 methane gas cell on the CSHELL spectrograph at the IRTF to detect exoplanets around low mass and young stars. We discuss the current status of our survey, with the aim of photon-noise limited radial velocity precision. For adequately bright targets, we are able to probe a noise floor of 7 m/s with the gas cell with CSHELL at cassegrain focus. Our results demonstrate the feasibility of using a gas cell on the next generation of near-infrared spectrographs such as iSHELL on IRTF, iGRINS, and an upgraded NIRSPEC at Keck.