You'd need a separate app for that.
Try GoSMS Pro or Handcent SMS (I use GoSMS).
You can custom set notifications, repeats, volumes etc.
Also, press the volume up key on the desktop, then press the little cog button that appears on the right of the volume bar and make sure that the notifications slider is up.
Also, when you place the phone with the screen facing up anywhere, it automatically becomes quieter as the loud speaker is on the back of the phone. I have to place it face down in most places to make sure I hear it!