"Put a sock in it!" explained

From World Wide Words:

The story about putting a sock in the horn of a gramophone has been so widely reproduced that it’s unsurprising people believe it. It’s a delightfully unexpected and plausible tale. The image comes to mind instantly of some grumpy parent stuffing hosiery into the horn to muffle the noise of the kids’ records. Pre-electric gramophones did lack a volume control and I’m told they could be loud enough that finding some way to minimise the sound was desirable. But the evidence suggests that the story, pleasant as it is, came into being as a well-meaning but misconceived attempt to explain the origin of an existing saying.

More at the link, which suggests that the phrase is a World War I slang phrase.