Just an FYI for anyone who may read this thread again. I bought some Koss headphones with a volume adjuster on the cord and it works very well in lowering the volume below what the N800 can by itself.
I still think Nokia should make this possible, but at least I now have a solution.

I use this every day so I can keep my n800 in my pocket and adjust the volume in finer amounts and down as low as I want. I use in-the-ear (canal-phones) earphones which are way too loud normally and also are sensitive enough to pick up the small amount of digital noise injected by the circuitry around the audio chip/signal path. It's not noticeable until you get a very quiet environment or use canal-phones.

At any rate it works great and is small and light enough not to pull on the headphones too much; it adds about 8 inches of length. I've never found any other place that actually sold such a thing, and have spent a lot of time looking (locally).

Larry