I used to live in a 1932 brick cape cod. I rented an insulation blower and purchased many bales of cellulose insulation (basically shredded newspaper treated with boric acid to make it fire/pest resistant). I blew 2 feet into the attic and then drilled hole through the lathe board plaster in every single stud bay and dense packed every wall cavity (interior and exterior facing). It pretty much sound-proofed my house and cut gas bills by almost half.

You have to be careful with how your exterior walls are constructed. If any insulation touches exterior brick it can wick moisture and create a mold problem.

Only do this after you've sealed any gaps. Air leaks are the lowest hanging fruit because of the chimney effect: air leaks on upper floors suck cold air in on the lower floors.