Advice on dealing with the sound from trains and thin walls/floors

I recently relocated into a relatively new studio with one drawback I didn’t fully consider at the time; that it’s located close to a railway and intermittently from 5pm to sometimes as late as 5am trains come by and with them the sound of horns blaring and tracks screeching. I had known about the railway prior to signing my lease but didn’t fully understand the frequency that the trains would come by in the evenings, and have lived near train stations before so it’s not like I’m a stranger to the sound, but it’s mainly the inconsistent frequency and the noise volume that’s throwing me off a bit.

Outside of this, the noise level in the building is practically silent (to the point that I can hear people cough down the hall lol), but I find myself being shocked awake by the trains at night and can’t keep the windows open because the sound is just amplified further. I’ve considered a noise machine and just making sure I never have the windows open at night, but I was hoping to get some advice on what I can do to help get used to things and mitigate some of the noise. Because the walls and floors are also fairly thin, I can occasionally hear my downstairs neighbors having conversations, which I know means the same probably would go for those who live above me, but I’m conscious of it to the point that I’ve had a hard time settling into the place and I’m afraid to make noise/chat with my friends/play games because I don’t want to be a disturbance to them either.

Some things I’ve considered are: replacing the plastic shades with thicker curtains to muffle some noise from the trains, putting down some carpets/rugs to muffle my volume to the downstairs unit, and moving in some more furniture and such to try and fill the space, especially on the side on the room where I have a neighbor on the other side. A friend suggested I make some DIY sound panels to hang on the wall, but I feel like those would help more with me being able to muffle sound coming from inside my apartment vs the train noises and occasional neighbor noise. Any insight is very much gladly appreciated, thank you so much for your time