Insulating an exsisting room

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We have a "florida" room on the back of our house that use to be a patio but previous owners closed it in. We would like to make it a play room for our son, however it is not an insulated room. We have already purchased a wall unit (heat and ac) for the room, but it absolutely has to be insulated for him to be in there... Any suggestions on the easiest/best way to complete this??