One way to do this is to cut a hole thru the wall using a hole saw - you can use a 3" or 4" ABS drain pipe thru the wall, with 90 degree elbows on both ends and another short piece of pipe glued into the elbow, so that you have right angles on both ends of the pipe. This makes it so you can get specialty cables, such as computer interfaces, thru the wall without having to take the end off and re-solder 37 pins or so for each cable...
If you don't have access to a hole saw that big, you can cut gypsum wall board (sheet rock) with a razor knife by making several passes until you break through - just plan on caulking the wall around the pipe on both sides of the wall no matter how you cut the hole. You're looking for an airtight seal on both sides.
Once you have all the cables thru, you can take some soft foam and insert it as far as your hand can reach (another reason for 4" pipe) to block the sound path thru the pipe. If you push foam as far in as you can reach on each end, then another foam barrier right at the outer ends of the two 90 degree extensions, that will give you 4 places to baffle the sound and it should work fine.
If you have cats, and they have access to either end of this feed-through, also buy pipe CAPS for each end - once you have all the wires in place, cut a slot from one side of the cap toward the other side, just big enough for all the wires to fit thru the slot, and put the cap on each end of the feed through. This will keep the cats from finding the foam, and having their fun with it...
To summarize, you would have a short piece of plastic pipe going thru the wall, then 90 degree elbows on each end, then short pieces of pipe into those elbows, so that the finished feed through looks like either a "Z" or a "C", depending on which way you point the elbows.
You can get all you need from a Home Depot or Lowes. Total cost should be under $15 for everything (not including the hole saw), ask them to cut the pipe if they will. It usually comes in either 10 or 20 foot lengths. Be sure to get the right glue for the type of pipe you use - ABS pipe (black) only needs a single step glue which is black and messy - use lots of newspaper or paper towels (and VENTILATION) when gluing the elbows. PVC pipe is usually white instead of black, requires a two part glue (primer, then glue) and looks crappy at the glue joints no matter how careful you are.
If you intend to run POWER thru the wall also, I'd make a SEPARATE feedthru for that, at least 2-3 feet apart. Better if you can just get power from within the room though... Steve