If you don't think the sounds that may leak through the two walls you don't want to soundproof are going to affect anybody, then you can leave them as thay are.
The cheapest way to make some adequate soundproofing for most audio frequencies is the 4" x 2" stud wall built an inch away from the existing walls, filled with rockwool or similar, and finished off with two layers of plasterboard (glued and screwed). Make sure all edges at the floor, ceiling and walls are sealed with silicon rubber to ensure an air tight seal - where air can go, so can sound. Replace the door with a heavey duty door and seals around all edges including the bottom - you will probably have to fit something along the floor for it to seal against (edging similar to what exists around the door frame already). Fitting a neoprene rubber strip belween the footer and header 4x2 helps too.
You need mass and isolation to assist soundproofing - the plasterboard is the mass, and the air gap is helping to isolate. The insulation helps with in-wall resonace and some highe frequencies. As your house is physically touching next door, stopping the deep bass will always be very difficult to do. You can place the sub woofer on an isolation platform to help reduce the physical vibrations from transmitting, but there's no guarentee that next door will not hear your bass. You will have greatly reduced the other frequencies above 125hz though.
A 'room within a room' will be the best option but means mounting a new floor on some form of isolation platform (that doesn't tough the existing walls) and building new walls and ceiling onto the new floor. you will lose a lot of room though - at least a foot in width and depth, as well as floor to ceiling height. You will have achieved a great deal of isolation though.
I can probably dig out some pictures of how the walls should be built if you need them.
For other options, you could always try these people:
www.rpg-europe.co.uk. They sell products similar to Auralex accoustic stuff and they have some products for sale in the powerbuy section which may be helpfull.
Gary.