Manual volume adjustment is automatically saved to the file as a relative volume adjustment tag (try opening the Tag Inspector for a particular track to see it). Many music players can read this.
If you go to Menu > Tools > Analyze Volume, you can also tell MB to change the volume of the file directly, although that's a little more risky because you can't undo it if you don't like it. (If you analyze volume without telling MB to alter the file, the adjustment will be saved as replaygain tags, which are also readable by many if not most music players.)