Can't I change the sound volume with the screen locked? When I'm listening to my podcasts, with the screen locked and turned off, isn't there a way to enable change the sound volume (with the physical volume buttons)?

--update

I'm on a Motorola Razr D3.
That most likely depends on what phone and interface you have. On, say, a Galaxy S3 with the stock TouchWiz UI, when music is playing in the Samsung player or in Google Play Music, the volume control is enabled at the lock screen. On some other devices, it may not be possible. May I suggest editing your post to include which phone model you have?