I use the short cut keys control shift q to reduce volume and control shift w to increase volume for each part during play back.
You also must first set the midi channel to the part you are adjusting by pressing control 2 through control 9.
Example
1 Press control 9 to set the channel to the melody part.
2 Press and hold Control shift q or w to move the volume up or down.
3 You must press the alt f2 function key if you want to save the new volume setting with your song.

Using this method even if I stop and restart the play back the volume stays the same.
I'm sure their are buttons you can click to accomplish the same task, but I only know the keyboard short cuts.

Tim