PatThe Kid, it may help to undertsand there are two issues: sound isolation (soundproofing is 100% isolation) and acoustic treatment.
You are asking about sound isolation so that your noise is not heard by others. Rod Gervais quite rightly says that sound isolation is achieved by mass, mass and more mass. That is why others rightly advise that you need to turn your volume down.
Egg crates, foam and blankets would come under the other heading, that of acoustic treatment. However, on a scale of effectiveness, they are right down at the bottom and should be disregarded. As you read up on acoustic treatment you will discover that this topic is about how to help get as accurate sound inside your room for you to hear, and that will depend on the room and how much time and money you want to spend.