To sound proof a room you have many different options. If you don't have your dry wall up because you don't have your studio set up, put insulation right inside the wall before you put in the dry wall. It is important to sound proof your room because you don't want your neighbors to call the police and you don't want there to be echoes and feedback on your sound. You want your music to be crisp and high quality. The best insulation is fiberglass insulation. If you already have your wall up, you can cut a hole in the wall and put in a Styrofoam spray that will keep the sound inside the room. The best recommendation if you already have your wall up is to go out and buy a foam that you can put on the outside of the wall. If you have enough money you can hire an insulation company to come and insulate the room professionally.