Will a short brick wall help shield against bass or will it go around?

You may try to build something like highway sound barrier. They say that modified acrylic sheet is the best material for this, and I guess it's cheap.

Other option is not to build wall, but to insulate your house, using cork. Cork panels work very well for sound insulation. Especially if you manage to get egg crate shape, though it can be expensive depending on the area.

This looks to be the cheapest variant. I haven't tried it so I can't say.

But probably the cheapest and best option is the non-engineering approach. Try once again to talk calmly and reasonably with the neighbor. Explain how it affects your life. Just try not to get pissed off if it fails. If it fails, well you should check your local regulations about the noise levels and hours when noise is forbidden. If the bass is present at these time or is too loud, unfortunately, you will have to call the authorities. One or two fines will calm him down for sure.

I know how nasty a loud bass can be, for me it was even one of the reasons to move out. Good luck with this, and try not to stress too much. The solution will appear for sure.

The wavelength of sound at 40Hz is about 28 feet.

However tall the wall is, the sound will diffract over the top of it and spread downwards on the far side.

If you made the wall about 5 wavelengths high, it would be fairly effective. But I don't think your building regulations will let you build a 140 foot high wall, even if you can afford to do it!

The bass sounds from rock concerts, music festivals, etc, can be heard miles away from the venue. The answer to your problem is get your local environmental protection department to silence the neighbour, by taking him to court and/or confiscating his sound system, if he doesn't want to cooperate.

Short frequency noise will tend to go around and even through objects, soil, or foundations to your home, as base humming sound.

For 40 hertz or wavelengths of 5-10 meter object of the sizes of the same order are transparent.

A lot of bass noise travels through foundation.

Sound absorbing panels may be more effective.