I personally have a lot of headphones around the house that I don't use in most cases, and the main reason for leaving them lying around is that they don't have their own volume control. From Lifehacker I find a simple hack to make us a universal volume control for our headphones.
As you can see, the trick is to replace the speakers themselves with a medium jack connector in headphones that already have a volume control. Here are the diagrams for the two ways to do it, replacing only the speakers, or placing both the volume control and the jack connector:
If you need the full manual, here you have it in English.