There's no easy answer. Just use your ears and adjust to suit.
Computer audio formats allow you to reduce the volume of your audio clip but they cannot be increased indefinitely. Typically the digital encoding used is PCM, and there's only so far you can push the amplitude before the peaks get clipped.
In visual terms, when you see a waveform in say Audacity like this:
The left half is unamplified, the right half is amplified past the admissible range, so that its peaks are clipped. When this happens, it's also known as compression or distortion. Sometimes this is desired, mostly it's not. In addition to making things sound loud, the compression also makes it sound like coming out of a walkie-talkie. Those sharp edges where the waveforms get clipped is what makes it sound so harsh.
In Audacity, you can use the Normalize tool to automatically amplify so that the peaks reach maximum, without clipping.
However, there are ways to make things sound louder without actually making the peaks higher. This is done all the time in what's known as the loudness war. Instead of amplifying everything an equal proportion, the quieter parts are amplified more than the loud parts, so that there is minimal clipping, but the average amplitude of the entire sound is increased, and it sounds louder.
You can see an example above; the top clip is the bottom clip but compressed. In Audacity you can use the Compressor tool to do exactly this. You may need to do this to make quiet clips sound louder, even though they have been normalised, because they have a high dynamic range.
Of course, you could go the other way too; some clips may sound too loud, possibly because they were compressed. You can reduce their amplitude, or even better, find higher quality clips that were not excessively compressed.
Finally, you probably don't want your sound clips to have the same loudness in the first place. You want some clips to naturally sound louder than others, and it's better to apply this in the sounds themselves rather than your audio player's volume setting. For example, louder guns feel more powerful even if their stats suggest otherwise.
So there's no simple approach to getting sounds right. Play it by ear, listen to sounds both in isolation and as part of an overall mix, and adjust to suit.