How should I SOUNDPROOF a small room?

I do not have much room for a recording studio, so I am trying to set up my closet (I know it sounds weird but it's really a pretty big closet) as a recording studio, and I was wondering what materials are going to be required to soundproof it? I have already started collecting cardboard egg cartons but I really don't know what else to get. What material exactly is the best for soundproofing that way I don't have to pay thousands of dollars to soundproof a room. Thanks.