I think SilentPanda means you can do it by checking "Play feedback when volume is changed" in the Soundeffect tab. You can locate it at Sound in System Preference.
I am forever indebted to you all who answered this question. Ill get you all 17" mbp's hahalolol. When im in pro tools and i have to change the volume of my studio moniters its enough to hurt your ears hearing that damn pop. Im so happy.