Not necessarily sound-PROOFING. But are there any easy and cheap ways of doing this? I want to basically keep most of the sound (particularly from the bass) into one closed room at moderate to loud volumes.

I have no clue as to what kind of system you have or what volumes you listen at, but an easy place to start would be heavy curtains over the windows, large floor rugs, wall hangings, etc...anything that will absorb sound waves. Volume has alot to do with it (obviously) and after a certain point, depending on the construction of the room, wall hangings and whatnot aren't going to cut it.
Bass travels the farthest, and is going to be the hardest to minimize short of just turning the volume down.

Bass is tough because it is omni-directional and it penetrates. You can purchase bass traps that help with this like these

They are expensive ($25 a piece) but maybe they give you an idea of what they look like.

This link has some different room treatments you could try.

This set is a pretty nice room treatment package.

Again these aren't budget by any means but maybe gives you an idea of whats out there.