My first reaction is to caution you not to turn the volume up too much when using headphones, so you don't damage your hearing.
Check the following pages in your owner's manual to see if any of the described settings help you get better sound and volume through your headphones:
Page 57 - Selecting an EQ Setting for the Best Sound
Page 58 - Setting the Output Gain Level
Page 59 - Intelligent Acoustic Control (IAC)
Another thing you might want to look into is the volume setting for each individual part-- i.e., the Main Voice, Dual Voice, Split Voice, etc. Each of the preset voices has default settings associated with it, including volume, and some of the voices will have default volumes which are much lower than other voices. When you select a particular voice for a particular part, it's a good idea to go into the settings for that part afterward and adjust the part's settings to your liking, such as increasing the part's volume. You might also want to adjust the volumes of all the parts to get a pleasing balance between them. Once you've got the volumes of the parts to your liking, use the Master Volume knob to adjust the volume of the keyboard as a whole-- i.e., the volume going to the speakers or headphones.