It won't be worth it unless you do a lot of recording.
Get better headphones. If you're using a PC look into better plug-ins. Convolution can add room ambiance.
Or if you have an amp, and just can't part with it do something like:
http://www.randallamplifiers.com/pro...tion/index.asp
Then listen on headphones.
If you really want to move ahead and soundproof anyhow. Basically you need to build yourself an isolation box like the Randall, but big enough for you and your gear to sit in. Isolating the rooms inner walls from the existing walls is the key.