Decide whether you want a recording space or simply a rehearsal space. Many band rehearsal spaces which bands rent for practice are little more than enclosed rooms with acoustic treatment. If you want a recording space, you need to create a control room for recording that is separate from the rehearsal space by erecting a set of walls around one area of the rehearsal space and placing windows in one of the walls.
Erect a double wall around the existing walls of the planned rehearsal space, and fill the space in the double wall with closed-cell foam to help soundproof it.
Hang acoustic foam like Auralex on all the walls. Acoustic foam can be bought in sheets at many music stores. You can either coat the entire wall, or place a solid square of it in the middle area of the wall.
Carpet the floor with a plush carpet that will help deaden sound in the space.
Place acoustic sound absorbers like TubeTraps in the corners of the room to control acoustic reflections.
Hang atmospheric lights in the room. This adds to the feeling of the room and will make it a space where your band wants to practice.