Is there a way to use python to control the master volume in game. I want that all sounds are controlled by one object so I can do any settings in game.
Globally change volume with this Python snippet. Also affects sound actuators.
import aud device = aud.device() device.volume = 0.5 # Change this value to whatever
Keep in mind that a new device isn't created until you re-start blender, so any changes made in-game will persist until you actually close blender.
Check out Tutorials For Blender 3D for a solid reference on basically everything you'll ever need for scripting. Link here for the Sound Actuator Python reference.
Ended up sitting down finally, and got you this: Volume Control
I'll let you see the script and sort out how it works on your own. Not to be an ass, but because it'll make more sense and stick better if you do.
Reference for sound actuator python. http://bgepython.tutorialsforblender3d.com/SoundActuator