This is a very serious issue, and I have had the same questions myself. My approach is adjust the volume frequently (whenever I change programs I'm listening to, etc.), going from inaudible and increasing the volume until I can hear clearly. If you try to decrease the volume to make it a safe level from a louder level, you'll be used to having it (possibly) too loud, so you run the risk of making it less damaging, but not safe.
One thing I have noticed, is that it's very hard to tell if you are losing hearing, eyesight, or other senses. It is so gradual, it's almost impossible to detect it. You will need to see a doctor and take a hearing test for an accurate rating of your hearing. You can, however, do some of the same sorts of things at home, like finding the lowest setting you can clearly hear a specific song or speech or other media at, and revisiting it every now and again to check for discrepancies. If you notice anything changing, you may want to consult a doctor.
Hearing loss is very serious, so if you have any misgivings, consult an ear doctor.
Sadly, consequences of hearing damage (loss etc) may turn up years after the actual damaging events.
quoted figures from UK hearing loss charity RNID are that "Listening to any sound at a high volume – more than 89dB – for more than five hours a week can damage hearing permanently over time." Other research they quote would put 89dB between "shouting" and "nearby pneumatic drill".
Probably best to try and get in the habit of keeping the volume down to just audible, and adjusting frequently, as NoviceInDisguise suggests.
Good news is, your ears can get used to lower and lower volumes too
As someone who has had mild hearing loss (I'm not even 30 yet!), I can speak for the bad effects of listening to loud music on headphones.
In a completely silent environment, you should gradually increase your volume from zero until you are able to distinctly hear all parts of a song (the vocals, the percussions, the bass line etc). Keep note to NOT increase the music volume more than 20-40% of this volume level.
From what I believe, the ability to not hear external noises should be perceived in the right context - You can be unable to hear external noises either because your music is too loud or because your headphones is external-sound insulating or noise-cancelling.
If your case is the latter, you're good - just remember to remove your headphones off your ears for a couple of times every hour to aerate your ears and reduce infection rates (and also to give your eardrums time to regain some of their strength).
If it's the former, then you need to reduce your volume to the lowest suitable volume.
A good rule-of-thumb is '60 minutes of music at 60% of your MP3 player's maximum volume'
Also, it's advisable to shift to large old-school headphones as compared to earphones and in-ear earphones. Happy listening!
From my experience, the sound "hurts" less if it has quieter mid..high frequency tonal signals (like screaming and over-distorted electroguitar) and relatively loud low frequencies. The lack of bass can trick you to increase volume (because you want to bring it up to audible level) and hurt ears more.
So: make sure to use headphones with smooth frequency response and good bass reproduction. For example, I am using audio-technica ATH-M50 for a long time (they are already widely known anyway, so I hope this doesn't count as an advertisement), and my ears are quite happy. Of course, the music does matter, too, and if it sounds too harsh, you may have to use an equalizer to reduce frequencies above ~1.5kHz.
Also it helps a lot to use ReplayGain to make all tracks (or albums) to play with the same perceived loudness, so you won't be suddenly crushed by an album that's damaged by loudness war (mastered with loudness cranked up) playing after a normal one.