The volume should be set at a comfortable level that allows you to relax and fall asleep. Too loud and you won’t be able to relax, too soft and you will find yourself straining to hear the music. Experiment with the volume; test it in different sleeping positions. A couple points to keep in mind: 1) the volume required to hear the music when lying on your back is typically higher than when sleeping on your side, 2) lie quietly for a minute and you will realize your ability to hear the music at a low volume improves as you listen.