there are usually 2 or 3 different places where you have to adjust the signal level - first check the device itself - the gain control just below the little LED -
adjust the gain control until the LED is flickering yellow on the loudest bits, if it's red, it's too high - turn it down -
http://cdn.shure.com/user_guide/upload/1899/us_pro_x2u_ug.pdf
there are other places where the level can be adjusted eg in the software, in your case Audacity. I assume that you've already got as far as getting it to record from the audio interface, but wise to check, I've had it recording off the internal mic on my laptop before now by mistake
there's a thing in the top tool bar below the record button, with the little microphone looking icon to the left of it where you can select the signal source, in my case I've got stereo mix, but if you look for Shure Digital or USB Device or something similar and make sure that's selected, then at least we know that it's recognising the thing
to actually adjust the record volume, there's another little microphone looking icon, dead centre near the top
there should be a little drop down menu - click on 'start monitoring' the meters above may flicker momentaritly - look to the right of those meters and you'll see a couple of horizontal faders, the first one with the little loudspeaker icon is for the playback level, the next one with the little microphone icon controls the record level
As far as I know, Audacity over rides any internal record level facilities in Windows, so this should do it, but you can check via Control Panel - Sound - Recording - Shure Digital - Levels
the file path may vary depending on which version of Windows you're running
If what you're experiencing is more like crackling and dropouts it could be to do with latency settings, how Windows deals with USB power management, or any one of a number of issues
apologies if this is a bit elementary for you, you've run the firewire device ok, so you should already be familiar with this stuff, but this info may be useful for other users