Playing with Dark Side of the Wall is a real treat nowadays. We always use pro sound engineers and the on stage levels are great although the out front rig is any where between 10 and 40k depending on the venue.
On stage levels are kept low, even the lead guitar is on a tight reign! We each have our own monitor and separate mix too. This means that I only need myself, keys, vocal and bass in mine as I stand next to the lead guitarist and I can hear him from his amp.
I don't like IEM becaus that means you have to trust someone else not to fill your head with feedback!
I have tried using earplugs and I bought some from Alpine. They have a filter system that helps to regulate how much noise filters through. The upside of them is that if you block out most of the other noise, you will hear your sax from inside your head as it resonates through your skull. The down side is judging your own volume.
I will have to listen to your soundclip later as I'm on holiday and forgot my headphones