Sound classes have properties including volume, pitch etc.
So indeed the best way to do it is to make all your SFX sounds part of the SFX sound class, then change this class properties (say, from blueprints).
You could even use SoundMix as presets for your different game state (“ingame”, “pause”, “options screen”, etc.) and push/pop them accordingly from blueprints - you’d just have to reference the proper sound classes and volume properties in each Soundmix.
The documentation on this is quite extensive, as are the game examples.