Before starting any projects, if you have forced air, reducing certain noise from connected rooms will be impossible. Walls will absorb some of the noise, but forced air duct work transmits significantly more noise than radiators.

Whether it be drowning out the sounds of love making, kitchen noise, television or whatever, rip out or add onto your current room's drywall with two layers of 5/8" fire rated drywall (type X), with green glue acoustic sealant between them staggering the joints (2.5" screw for the second layer). See this 1st instructional video.

The top-view diagram will give about 40 STC. It is two 5/8" walls separated by studs/insulation. For a 65+ STC barrier, a second wall with alternating stud placement and two 5/8" drywall with staggered joints:

Mineral wool insulation $2-3/sq-ft doesn't perform much better than fiberglass if you look at the STC rating (a few points). Fiberglass insulation is less than a third the price.
https://www.homedepot.com/b/Building-Materials-Drywall-Drywall-Sheets/Fire-Resistant/N-5yc1vZbb52Z1z0qvc1
Any electrical outlets should also be replaced with [@@@] since disturbing noise can travel through a hole the size of pencil diameter.
A more expensive method is to use mass loaded vinyl:
With a typical weight of 1 lb. per square foot, these barriers are as heavy as lead, but only 1/8" thick. This improves the sound transmission loss (STC) of a construction assembly without losing valuable space. It may be used in new and retrofit soundproofing construction. The standard offering is a non-reinforced barrier for use in typical construction. Other configurations include lag and wrap materials for pipes and ducting, a transparent version to allow line of site or light, a surface mount option and a reinforced version that may be suspended. These materials are often combined with other materials in soundproofing applications to help provide a complete sound blocking solution.
https://acousticalsolutions.com/product-category/sound-barriers/mass-loaded-vinyl/
To completely sound proof the room, you'd see the best results by removing the drywall from at least one side of each wall, and the ceiling if there's living space above, and installing specialized quiet drywall on top of sound attenuation channel that's attached to the studs like furring strips. This both separates the drywall from the studs to remove base sounds, and the quiet drywall absorbs the higher pitched sounds. However, even after all this work, there are still air ducts and doors that will often transmit sounds.
https://diy.stackexchange.com/a/87527/87531
Make sure to check with authorities about local building codes too.
Good reads:
Additional sound reducing solutions:
- Putty pads for enclosing electrical boxes
- Solid core door with swinging flap door sweeper
See this 2nd instructional video.