Head over to your user settings but clicking the cog icon in the bottom left corner
Navigate to the Voice and video section. Here you can test your mic, set your keybinds (if you want to use push-to-talk), and set up your camera if you have one.
Select your microphone and speakers/headset from the dropdown lists.
You can also test your mic and adjust your volume using the sliders.
Check your volume here. If it's too loud for you, it's probably too loud for everyone else.