This sort of foam isn't for soundproofing, but for reflection-proofing. If you treat your room with this and make noise, your neighbors will still hear it just as loudly as before, but inside your own room, the sound will have less reverberation and echoes, making it sound more focused.

For soundproofing you need dense materials with lots of mass. Things like mass loaded vinyl, rockwool sheets, or even full-on room in a room. It can get pretty expensive [0]

I agree with the other commentor, a nice digital piano with headphones, or speakers you can adjust the volume out of would be the best option.

[0] http://www.amazon.com/Loaded-Vinyl-Square-Acoustic-Barrier/d...