I suppose it depends a lot on what your set up is... I have an audioengine N22 desktop amp, so I use it's volume knob most of the time. I also have volume up/down/mute keys on the Fn layer of my GH60 though I don't use anything there but the mute key very much.
I wonder how easy it would be to hook up a potentiometer to one of those techkeys cards and program it for that functionality? That could be pretty ideal if you wanted a small dedicated device with volume, and use the MX switches for multimedia controller keys (forward, back, play/pause, etc). I wonder too if it would be possible to program it's led array to act like a vu meter type thing?