I see studs, no insulation and brick. The brick isn't a veener, they didn't put up anything prior to laying the brick.
Hello again Brett. Ok, this tells me some things. At this point, it would be important to see EXACTLY how the existing garage performs, transmission loss wise. In other words, you need to set up your band and play, while someone listens. I would suggest playing at the db profile(volume

that you normally play, while someone walks around the perimeter of the garage and listens. I would suggest taking soundlevel readings as well, like at 5', 10' and 25' away from each exterior wall. You might even contact your neighbor(or whoever you are trying to isolate the sound from)and ask them if they could hear your music, and if it was too loud or what. Let me point out some things here.
SPECIFYING a CORRECT solution for improving the transmission loss RATING of an existing envelope is difficult enough even when all the facts are known. However, offering a SPECIFIC solution from a distance, with little first hand knowlege of the circumstances at hand is virtually impossible, given the fact that we do not know how loud you play, distance to a FIRST POTENTIAL VICTIM

and the actual transmission loss of the existing structure, which can only be evaluated with a sound level meter AND experience at evaluating the data gained.
DISTANCE is your friend though, as sound decays 6db for every doubling of distance. Which theoretically, also happens when you double the mass of a given boundary.
I would submit that practicing in the house will be much quieter, as you have a drywall interior leaf(i would think) and probably only one exterior wall, whereas the garage has 3 exterior walls, and only plywood as an interior leaf. Even though brick is considered mass, it also is porous, and there are probably many flanking paths through the wall cavity as you have mentioned there is nothing between the brick and studs. Brick wall construction in this form allows for many leaks, of which you may not even be able to see, not to mention the garage door. Therefore, let me give you a brief summary of your options. Although, anything short of a major investment in time and money MAY do little, depending on the distance to your closest neighbor, and current transmission through the existing envelope assemblies. However, lets look at the possibilities.
No matter what, you WILL have to build a wall in front of the existing garage door. Also, it is very important that the garage door be SEALED around its perimeter. Not only that, but the "weak link" syndrome prevails here, as the mass of the garage door as a second leaf is substantually LESS than the surrounding brick walls, which in essence renders them more or less useless given no additional mass is provided to this leaf. And since this door is a HOLLOW two leaf membrane already, it may prove difficult to improve its transmission loss at low frequencies by simply building a one leaf wall in front of it. Although, NOT sealing the perimeter, and building a TWO LEAF assembly, may improve it substantially, but only if LOTS OF MASS were used on the exterior leaf(between door and framing). Although, unless a brick wall were built here, it would be doubfull if you could add enouch mass to match the exterior wall mass of the brick on the other walls. Therefore, weak link syndrome will still exist. Alas, lets move on.
Here is what your options are.
Econo Marginal improvement but may be good enough for existing conditions.
1. Do nothing to existing wall cavities. Seal existing garage door with weatherstripping and or expanding foam(messy). Frame wall in front of door. Caulk all joints in plywood and any exposed gaps in door jambs and or joints at ceiling/floor/corners/outlets(or gasket the covers)/pipes etc. Add one or more layers of 5/8" drywall over existing plywood WALL shiething. As to your ceiling, adding drywall, especially more than one layer is dependent on your existing roof/ceiling structural framing. This is something you really need to look at, as typical garage ceiling joists are usually less than adequet for even ONE layer, let alone two. Joist spacing and dimensions may require additional framing and or support. ASSUME NOTHING when it comes to roof/cieling loads.

The point is to bring the ceiling TL up to matching that of the walls. More weak link syndrome.
Fasten TWO layers of drywall to new framing at door, and the returns at the ends, caulking all joints between sheets as well as overlap joints in drywall layers(same with existing walls and cieling). Seal all entrydoors with good weatherstripping seals and sealing thresholds. If a MAN door exists in the garage, and its a hollow core or has a window in it, replace it with a solid core door. Also caulk the interior of the latch hole, being careful not to affect the latches operation. Airtightness of the interior leaf is of paramount importance in all options, but especially if your exterior leaf cannot be sealed, which with brick, I doubt if you could, short of coating it with a layer of plaster. However, lets move on.
Next best scenario. Great improvement in Transmission loss.
OPTION 2 Assuming questionable cieling framing is SUITABLE or has been addressed as per above. This MAY even involve analysis by a professional. Take no chances.
REMOVE EXISTING PLYWOOD

Fill all wall/ceiling stud and joist cavities with R-19 or better fiberglass batt insulation. The deeper the cavity, the better. Typical is 2x4 stud, although some states require 2x6 as framing members. Treat garage door as per option 1. Build wall framing as per above/picture and fill cavities with insulation same as existing. Shieth complete interior leaf with 2 layers minimum of 5/8" drywall. Maintain airtightness/caulking/offset joint details as per option one.
Option 3. Best TL within reason, yet most expensive and timeuse solution. Requires attention to detail and thorough understanding of principles involved.
In this option, you will treat the brick AND garage door as a THIRD LEAF, as both will vent the cavity created by new second leaf. Depending on the ultimate ISOLATION NEEDS, this is no easy undertaking and depending on existing conditions and budget, may not be realistic. However, at least you will know what it entails. The basis for this solution is to build an entire new SECOND LEAF, and DECOUPLE the interior leaf from the existing structure by using RESILIANT CHANNEL(walls) and Risc clips/hat channel for a suspended cieling. Not an easy task. Aside from the structural considerations, skills and tools required for this may be beyond your capacity. However, it this is what it takes to meet your isolation goals, so be it. Otherwise, settle for compromise.
As in option 2, remove all existing plywood shiething. Now the point is to build a complete SECOND LEAF within the context of existing construction. Not an easy task. For the existing walls, this is accomplished by nailing a perimeter CLEAT to the existing studs, whereby 2 layers of drywall can be fastened within the stud cavity, while stlll leaving an airgap between this new leaf, and a new 1st leaf. It would be damn near impossible to create a GAPLESS connection between the first layer of drywall, and the brick. Therefore, this is the point of the cleat. As long as the third leaf is VENTED, this gap should not present that big of a problem, TL wise, although Low frequency coincidence dips may change. Don't ask me to explain. I'm no expert.
Once this new leaf is in place, and the cavities filled with insulation, Resiliant Channel can be fastened as per manufacturers spec, and 2 layers of dryall fastened to the RC. Remember though, all grills, pipes, doorjambs etc must be addressed so no connection between the new drywall and the existing construction occurs, via screws, nails, physical touching etc.
Adding this new second leaf is especially difficult at the cieling/roof though. You are adding a load to the cieling/roof structural support that is EXTREMELY heavy. This additional load MUST be addressed PRIOR to construction, and may well even involve a Structural engineer to spec any changes to the existing structure, in order to get a construction permit.
Which brings me to another point. ASSUME NOTHING when it comes to
altering a space such as this. Failure to obtain a building permit may set up circumstances for SEVERE penalties, as well as loss of insurance should something happen. And obtaining a permit for STUDIO type alterations can be a lesson in hindsight as well as novice ignorance in the permitting process. Allow time for this process, as in some instances, may take MUCHO time to get approved.
Now, for the cieling, there are two scenarios for accomplishing what we are trying to do. Which is BASICALLY, DECOUPLING the interior leaf from the framing. We could either add drywall to the UNDERSIDE OF THE ROOF to increase its mass

...or create a new second leaf within the JOIST cavities, and then suspend a decoupled interior leaf via RISC isolators and hatchannel. Although, this will decrease available room hieght, it is the BEST scenario for maximum TL, as you can easily hang 2 or more layers of drywall from this system as long as the existing STRUCTURAL elements have been approved for the support. The other option is fastening Resiliant channel to the existing cieling joists(after a new 2nd leaf is installed as well as batt insulation)
Well dang, I've run out of time before I could post some illustrations showing this stuff. I'll be back this evening to do so. Sorry. Hope this helps narrow down your choices.
fitZ