I know that this is an old question, but there is another way not yet covered: Use MacOS Automator to create Services "Sound Volume Up" and "Sound Volume Down" consisting of the following AppleScript:
on run
set current_volume to output volume of (get volume settings)
set volume output volume (current_volume + 10)
end run
on run
set current_volume(with current_volume - 10 for "Sound Volume Down", of course)
Then, in System Preferences > Keyboard > Shortcuts > Services, set whatever keyboard shortcut you want to outputuse to increase or decrease the volume of.
PS: If my keyboard shortcuts (get volume settings)
set volume output volumeShift-Control-Option-Command-plus and (current_volume + 10Shift-Control-Option-Command-minus)
end run seem absurd to you, it's because I have configured my Caps Lock key as a "hyper" key, which presses all those modifiers at once.