Forget just shutting the bedroom door. The scratching and barking/crying would drive me nuts... You would probably have to put them in either a crate or baby gate them in a different room or floor of the house altogether...oh, and maybe blast the music (for your benefit & theirs)...lol
And don't be embarrassed to ask...I'm sure a lot of others are probably wondering the same thing....you just beat em to the punch!