Lock the keyboard (hold key), and the volume won't change. Obviously, it won't let you press any key while the keyboard is locked.
Suggestions for "semi-hold" features have been suggested in the past, and were always rejected. A patch for it was even created in the tracker, but it was rejected too.
Volume lock (do not go higher than a set volume) has also been suggested and is not approved.
In fact, I don't find any use for those features and they would only make things unpractical for people who don't need/like them (like me).