Heat goes to cold. If one room is colder than the other, heat goes to the colder one. How much heat is lost, and whether or not it is economical to insulate, is all in the numbers. You should at least do an online heat loss calc (free) to get a rough idea of how expensive the cold room is now, and then you can better determine what to do. In general, if you are dumping heat into a cold room that you don't want cold, insulate around the cold room. If you want the room cold, then insulate between the warm and cold room (if it won't get too cold). That is all "imo".