It depends on how sound proof you want the room. Don't go overboard or YOU won't hear if there's a problem.
Firstly make sure both rooms are carpetted including underlay, most noise travels via flooring.
Secondly what doors have you got...go for solid wood if you haven't got them already.
Make sure the beds are not placed against the adjoining wall.
If you've done all this you're on to the more intrusive and expensive solutions. There are a few choices here:
-rebuild and insulate the wall,
-add a new stud wall ontop of the existing wall (with more insualtion),
-you can buy a soundproof board that you place over the existing wall too, although this is very expensive,
-you can also try carpetting the wall (or using a thick heavy curatin to bounce the sound back) although this isn't ideal.