I too have an EU walkman and maximum volume is pretty crap to say the least.
I overcame this problem with a FiiO E5 headphone amp and L5 line out cable.
The L5 plugs into any walkman with a WM-Port.
The sound is much louder and cleaner than the walkmans internal amp.
It's sad that it's come to this for EU consumers but at least I now have to the freedom to deafen myself as I see fit.