When using analine dyes to color wood it's a good idea to first wet the surface with a wet rag, let it dry to raise the grain, lightly sand with the next higher grit then apply the dye. This process would probably work in your situation.

Just adding another layer of drywall won't help very much. A better but more expensive method would be to put up another wall with acoustic insulation between and no connecting framing between the two walls that would conduct sound vibrations. A gap of an inch or two between them would be sufficient.