"So my question is if I buy a decent pair of earphones from Sennheiser or Sony etc at around £20-£40 would I get more of a volume boost out of the R0?"
It depends which model it is, and how sensitive it is. The HD25-1 mk2 is 120 db/V. The MX580 is 119 db/V. The CX300II is 113 db/V. The Ex310 is 123 db/V(105 db/mw 16 ohms). To get higher volume you need a more sensitive earphone(higher db/V).
The Sony E888 is 16 ohms 108 db/mw, so it is 126 db/V. It sounds quite good. Beware of fakes though. A difference of 3 db is almost inaudible. A 10 db difference sounds around twice as loud. The best idea would be to get a small portable amp like a Fiio E6, then you could use any IEM.