A lot of headphones today come with volume control built in on the wire. If your headphones didn't, though, you can craft your own with a few basic, salvagable electronics.
There are actually two ways to do this: if you have an old, perhaps broken or ugly pair of headphones that came with volume control, that's quite easy to splice into your new headphones. However, if you don't, this guide over at DIY website Instructables details how to solder together your own from more basic parts.
If you're a regular electronics guru (and we know many of you are), you'll probably be able to salvage most of what you need in your own house. It mostly consists of a male and female audio jack, some small gauge stereo audio wire, heat shrink tubing and a 1Kohm thumbwheel audio potentiometer. Other than that, it's just a matter of soldering the right wires onto the right pins. If you don't already have the parts lying around, it's probably not worth searching them out considering the cheapest inline volume adaptors out there are a mere $US10, but if you can manage to find the audio potentiometer in your pile of used and broken electronic parts, this is a quick, cheap and easy way to get that volume control on your preferred set of headphones. Hit the link for the detailed instructions.
Universal Earbud/Headphone Volume Control [Instructables]