We have been working with the Modernist Journals Project (www.modjourn.org) to develop scaleable METS encodings for runs of journals.  As discussed earlier, we too have split the records.  We create a collection record that records the entire run of the journal and use MPTR elements to point to individual issue records.  At this point we are not creating intermediary volume records, although this remains a possibility.
I've attached a couple of examples to this note.  You can see how these play out on the MJP site at http://dl.lib.brown.edu:8080/exist/mjp/mjp_journals.xq 
Patrick Yott
Center for Digital Initiatives
Brown University Library
10 Prospect St.
Providence, RI 02912
(401) 863-2817