...clicking on that number every time I need to change the volume is so annoying. Please add an option to make the volume bar always visible.
In addition to psychoadept's suggestion, can't you just mouse over the player control bar/volume icon and control the volume with the mouse wheel up/down? No "click" needed; the number will sync to match the wheel. I never went back to a "slider" after I realized how easy/faster that was. May possibly be skin-dependent, but I haven't used a stock skin it didn't work with.