Whether your garage is heated or not, insulating all the walls will make a difference.
100% Insulate/Vapour barrier the walls connecting to your house.
As for the other ones, it's up to you. You don't NEED to, it's whether you WANT to or not. It will reduce noise, especially if you go with safe and sound or another product specially made for sound reduction. Insulating all the walls will help with reducing the cold that penetrates your garage, but weigh the cost of doing that to the potential energy savings of only insulating the partioning walls between your house and the garage.
If you're going to go that far, might as well heat the garage