Is there any way to disable the tone when changing the volume on Mac On my MacBook Pro, when I hit the F11 or F12 to change the volume, a tone is played I presume to preview the volume.

That tone can be rather intrusive when watching a movie or listening to music.
You can hold the shift key down to surpress that tone.
But is there any way to just disable it permanently?
Yes. If you open System Preferences (found in /Applications/Utilities, or select it from the  Menu) and choose the Sound pane, there is a checkbox at the bottom of the Sound Effects tab which controls the default behavior (content edited out of image). The shift key overrides this, so if you uncheck the box holding shift will play the sound instead.