How can I retain volume settings upon plugging in different speakers/headphones?
As far as I can tell, the Mac maintains two volume settings: one with headphones connected and another without headphones connected. If the volume is turned down with headphones connected, it should save that setting the next time headphones are connected.

That said, if your concern is that the "blip" is too loud, it can be disabled in System Preferences; under Sound » Sound Effects, deselect Play feedback when volume is changed.