Anyone ever think about building a dedicated room?


It looks like sometime in the future, when my girlfriend and I get married, that I'll be moving in to her place. She's currently living in a guest apartment in a house with plenty of space in the back yard. I've been toying with the idea of having a 15' x 25' (dimensions can be smaller) "shed" out back. I figured I could have it built with super thick walls and lots of insulation so that I could just use a space heater in the winter, and in the summer I guess I could open the doors and blow in some fresh air. All I would need would be some good electrical outlets and I'd be good, right? Have any of you thought about doing something similar and if so, what obstacles would I have? I don't even know if something like this would be worth it.
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I have a dedicated listening room and it is true it can be perceived as a "man cave" that separates a couple, but I always explained to my wife its better than being on a golf course for 5 hours; if she needs me she knows where I am. Later when the kids come, it makes for a great place for privacy for sex; there's nothing like a good strip tease and a free lap dance from a woman who danced all her life to get the desire going and then be able to go at it without the kids being able to listen because of the sound proofing and a big lock to keep them out. I say build it, but get lots of advice how to do it keeping in mind a good size, sound proofing, dedicated lines, etc. You might be able to combine it with a home theater to watch movies too.
In response to the original question ... Yes. Every day. I wish I had the funds.
I've built my own dedicated audio room. Problem I've run into is most contractors have no idea how to build an audio room and often equate audio room with home theater room, which is very different IMO. Those that do build dedicated audio room will charge you arm and a leg. So you have to do a lot of research on your own, if you want to save money. First, get the room dimensions correct to prevent large standing waves (ie, stay away from squarish rooms). There are freeware online that helps you with this. Get dedicated audio circuits into your room, preferably 20 amp lines that don't have multiple branches. And build the room as close to the service entrance (ie, circuit breaker) as possible. If you can, build a room with no windows and double sheet rock walls. Carpeted floors over hard floors to help with acoustics. This is just the beginning.
Shakey, that's the plan in the long run but for now, it would be nice if I could build a freestanding structure in the backyard that could later be a shed, or whatever. If I could do it for a few grand, it might be worth it to me. The apartment, or guest area of the house consists of a kitchen, small din inning area, bathroom, walk in closet and a main room that doubles as a bedroom / living room. That room is probably 15 wide by 20 deep but it shares part of a wall with the master bedroom and my girl would be there quite a bit so I wouldn't be able to crank it up, grab a beer, close my eyes and get into it the way I like to. She lives there not only rent free, but is getting paid $350 a month so I'd like to stay there for a year or two while we save up a nice down payment for a house. Besides that, the apartment is pretty nice. It's like an $800,000 house in a gated community. Not bad digs for free, I just need my audio fix.