ChangeVolumeSoundMem関数使えば簡単に実装出来ますよ。例えば

/****** Zキーを押すとフェードアウトを始める *******/
/****** test.wavはサンプルプログラム実行用フォルダ参照 *******/

#include "DxLib.h"

int WINAPI WinMain( HINSTANCE hInstance, HINSTANCE hPrevInstance,LPSTR lpCmdLine, int nCmdShow ){
ChangeWindowMode(TRUE);
if(DxLib_Init() == -1 || SetDrawScreen( DX_SCREEN_BACK )!=0) return -1;
int Flag=0, Vol=255, SoundHandle = LoadSoundMem("test.wav");
PlaySoundMem( SoundHandle, DX_PLAYTYPE_LOOP );
while( !ProcessMessage() && !ClearDrawScreen() && !CheckHitKey(KEY_INPUT_ESCAPE) ){
if( CheckHitKey(KEY_INPUT_Z) ){
Flag = 1;
}
if( Flag ){
Vol -= 2;
ChangeVolumeSoundMem( Vol, SoundHandle ) ;
if( Vol < 0 ){
Flag = 0;
Vol=0;
}
}
clsDx(); printfDx("Vol = %d\n",Vol);
ScreenFlip();
}
DxLib_End();
return 0;
}