That's been my experience, as well. I used to use a plugin for JRiver (I'm sure it would work in any other media playback program that supports VST plugins) that was pretty great. It was a parametric EQ that was easy to use and produced great results. The neat thing about it was that I could boost whatever I wanted and then, with the click of a button, it would set the highest boost point to 0db, effectively translating my desired curve so that it was all cuts instead of boosts. From what I've gathered, that is the desired way of handling EQ shifts. I was happy with the results and I didn't make any drastic changes so there wasn't much loss of volume (at least nothing that my amp couldn't compensate for with a tiny extra twist of the dial).
I'm not using it anymore but I do use the generic 10 band EQ in JRiver to create the a similar effect. The HE-400s sound great on their own but I get way more enjoyment out of them by making the bass a bit more apparent and pulling back on some of those harsher high frequencies. They really turn into a fun headphone once you get that slightly colored sound but I haven't really noticed a major loss of clarity. But I am a sucker for nice bass so a lot of people may disagree with that assessment.
I might have to dig that up and get it configured again because it was a pretty powerful tool to have.