Soundproof material for a dedicated room


I'm thinking of converting one of my rooms to dedicated audio room. Since it's a condo and there are neighbours to the side of me on 2 sides, I'm trying to figure out what I could put on the walls to prevent the sound going next door. Can I get away with just gluing something on the walls or would it help if I built a wall on top of the existing one and put something inbetween. Looking for something that won't break the bank, but also something that is effective. Waf is non-issue. What soundproof product or materials would you guys recommend?

Thank you all for your inputs
branislav
Most of the above suggestions will help; but only help. In order to truly soundproof a room you have to build a "room inside a room"; IOW, isolate the source of the sound as much as possible. This is what recording studios do, and there is a lot of info available on line on the subject. If that is not possible, the most effective way to "help" is mass, mass, and more mass. The green glue/sheetrock suggestion is a good one. Then make sure all doors are of solid construction, and seal very well.
My apartment is beside the highway, and it gets intrusive and times. I can't concentrate on things. My neighbours recommended to me a noise screen, I was skeptical at first but it really worked. It is made out of this noise barrier material. They is a support and blog site, which was really useful to help me set-up my soundproofing solution.