I have the opposite problem. I don't want the volume rocker to awaken the screen. I don't remember what the default characteristic for the volume buttons (regarding screen state), and I installed an "unlocker" type app (
No Lock by BoD) shortly after getting the phone. I think the unlocker app may have changed how they operate. I think this app may also be responsible for my phone sometimes presenting me with two unlock screens (the default and GoLocker which I prefer).
BTW, a while back I read on the "No Lock" market page that with his app installed, it would be impossible to get the volume rocker to behave differently than the power button. I checked for that today, and cannot find any mention of that. So maybe he fixed it. Even with his app uninstalled, I cannot seem to get the "sleeping" screen to ignore volume rocker input.
The reason for all of this is that I use a holster for my phone and it sometimes rubs the volume rocker, which wakes up the screen. Or worse, sometimes as I put the phone in my holster, the volume rocker will wake the phone and I will inadvertently press the power button. As you probably know, this brings up the silent mode/flight mode/power off screen. There have been times that I've taken my phone out of my pocket to find it had been powered down (with a full charge), possibly due to my clumsiness with the case and those buttons. This is why I want the state of the "sleeping" screen to disregard volume rocker input.
Sorry about the wall of text.