Headphone volume is in the menu's under the suitcase tab (far right) on page 1 labeled "Volume Settings." I have everything I need in the Fn button menu or assigned to all the various custom buttons. But I've never been able to find a way to change headphone volume quickly - although I usually just set it and forget it. You can also adjust the volume while playing back a video file, those settings remain when you start recording. AFAIK headphone volume can't be adjusted on the fly, only the mic input volume.
