Apple - Where is the OS X Volume Change Feedback Sound File located?

The volume up/down feedback audio file is called volume.aiff and is located in:

/System/Library/LoginPlugins/BezelServices.loginPlugin/Contents/Resources/

Go to System Preference > Sound, and check "Play feedback when volume is changed".

You may have to restart your computer if it doesn't work when you check it. I did and now it works.