you'd probably only need 30+ for a earphone thats severely inefficient or has an impedance > 80ohms.
Canalphones in particular kill very fast. I've used various IEMs and canalphones and can safely say that you shouldn't need to turn them above 9 (IME shure e5c and ety er-4s need more). If you feel that your music is being overtaken by noise from your train, you either have a poor fit, or your canalphones do not isolate well.
In general you should be starting at volume 0. Then turn it up just so that you can hear your music, I generally aim for 60% music 40% ambient, though due to the nature of IEMs and their isolation advantages over canalphones, you really don't need to turn them up too much in order to block ambient noise.
And no its not more risky to use "cheap" earphones, its risky when you aren't wary of the volume. The volume kills. The volume kills. The volume kills. IIRC, 37 on an ex71 is beyond safe SPL hearing and will damage your ears. Recent studies also show that some people are more resilient to high volumes, but not everyone, sticking to safe SPL levels is probably your ticket to ensuring that you dont get permanent hearing loss or tinnitus.
I'm not saying that i'm a benchmark, but heres some of the volumes i listen to on various earphones on the bus

:
Audio Technica ATH-CM7Ti (earbuds) - no more than 7
Audio Technica ATH-CK7 (canalphones) - no more than 5
Etymotic Research ER-4P (IEMs) - no more than 4