Which firmware are you using? Many players sold in Europe have a European version of the firmware which limits maximum volume. If your Fuze does have this, then install the US firmware on your player. Also make sure that in the player settings, the volume setting is on high and not normal.
Do you also have the player volume set to high in the settings, or is it set at normal? Other than these things, there isn’t much to do other than using a program like mp3 gain to raise the volume of the music files, or to use different speakers. If you raise the volume with mp3 gain, then the high volumes might distort. I guess there may be a way to compact the dynamic range with mp3 gain, so the high volumes won’t distort, but the low volumes aren’t too quiet? I have never used mp3 gain. I just read about people using it.
A dock might not help. If you buy a dock, make sure it is made for the Fuze, and that the store will let you return it if it doesn’t help. Perhaps the solution might be to get other speakers?
I’m sorry. As I said before, I never used mp3gain, I just read about people using it. The problem with classical music is that the dynamic range can be huge, and the music can go from very soft to very loud, which can cause some issues.