I looked around for a simple option that would allow me to disable wake on volume too, but couldn't find it. There is, however, a mod that you can do that is fairly simple and will prevent the volume keys from waking the phone. You will need a file explorer program that can give you root access, and will need to enable read/write permissions on your system files. I'm using ES File Explorer from the market (the free version, you'll have to enable root explorer in the settings of the program--menu>settings>Root options (NEW)--check Root Explorer and Mount File System)
Once you have this program on your phone, navigate to your local storage (not SD card) then to System>usr>keylayout>mecha-keypad.kl Open this file. In ES File Explorer when you click on it, you'll get an option of how to open it. Open it as a text file, then open it with ES Note Editor. You'll have a list of items, focus on "key 115" and "key 114" They should read, "key 115 VOLUME_UP WAKE" and "key 114 VOLUME_DOWN WAKE". Delete the word "WAKE" from each of these lines, but leave everything else the same. Save the file and reboot. Now you should find that when your phone is locked, the volume keys do not wake the screen, only the power button does. Hope that helps! It worked for me!