I rent a small room for rehearsals of my rock band. It's 16m2 (172 sq ft). It's in a building with many other rehearsal rooms. There is no soundproofing in the entire building, so if you're unlucky enough that your neighbor is rehearsing at the same time you are, it's a disaster. You hear everything, and vice-versa.
It seems that the noise is only a problem on the walls; the ceiling and floor don't seem to let in noise from the other floors.
What would be an economical way to reduce sound bleeding from outside our room? And it will need to be very thin, as the room is pretty small as it is.