Customizing a practice room for your instrument is key (pun intended). In addition to the suggestions below, there’s a link to a great article from Strings Magazine at the bottom.
If you’re like me and can’t afford one of these ($5-15K) sound isolation booths, we do have some options. Read on.
Cover windows. Windows convey and reflect sound more than any other feature. Blackout curtains can work well. Or foam, cut to fit.
Sound baffles work well for many instruments, and the link will show you lots of varieties. More options at SoundProof Cow also. If you play a low instrument, consider a bass trap.
Also useful (though not a good long-term solution) is to use a mute of some kind. Here are some mutes for trumpet, trombone, tuba, sax (good luck with sax muting!), and strings.
You’ll find more great suggestions over at Strings Magazine in this article by Greg Cahill: How to Soundproof a Room: Practice Without Bothering House Mates & Neighbors – Strings Magazine