Either way, this would be the case.
The louder you place the volume, the more power has to go out to the headphones to power them, to get rid of distortion, etc.
I don't notice a difference though with my Zen. I tend to stick at around 16-18 and about 5-10 at night when I want it quiet.
There is a difference of course, but would you notice it without timing? Not really.
With MP3 players, the more sound features you turn on, are the ones you worry about. EQ, Extra Bass, etc.