I just got an email about this new sound-dampening product called Studio Suit, which basically almost looks like a sheet or shower curtain. It seems like a really good option for using to line a walk-in closet (like I currently use) to really dampen the sound.
It comes with grommets so that you can easily attach it to a rod and can therefore be hung in a non-destructive way. They have a video on the site that shows you how they hang it in one walk-in closet, and I have to say, I was pretty impressed with the results in terms of the sound dampening affect!
I might have to check this stuff out…wonder if I can get the awesome mustache guy to come hang it for ME?!