If you are asking to make the volume button make a small (single step) adjustment with a quick press, but to make a continuous adjustment with holding it down, you don't have to do anything...that is how most buttons default.
If you are asking to make a quick press do one function and a long press to cause a different function, that is what the PRESSHOLD features in CCP is for.
If you ever want a button NOT to do the first thing above, you turn off the "Repeat button while pressed" setting by double clicking on the "step" you don't want to repeat in the Macro panel for that button.