Are you sure there isn't a volume control on the actual ipod itself?
My son uses over the head headphones on his, and I'm sure there's not a volume control on the lead, I'm sure it's on the actual ipod.
I am trying to find it, to have a look...
He uses the 'Beats By Dre' headphones, which are brilliant (I always 'borrow' them!)
These have got good reviews, and they are less than £15. Bargain!
http://www.argos.co.uk/static/Product/partNumber/9051029.htm