If you want to turn off/on the sound that you hear when you press increase/decrease volume buttons on the Mac OS X operating system, just follow the below steps,

Sound Preferences Mac OS X
Step 1: Goto Spotlight search and type sound, and open sound preferences,
Step 2: Now under Sound Effects tab, just check/uncheck the Play feedback when the volume is played to turn volume feedback sound on/off
✌️ Note: As Mac OS X 10.10 Yosemite the volume control sound is turned off, so you can turn it on using the above steps.
You may also change the default alert sound back to Glass by selecting it under Select an alert sound option.
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