Preamp has too much gain

I have a Consonance Reference 1.1 preamp that has too much gain.

I'm assuming by this you mean it is too loud with the volume barely turned up, but your assessment of the problem is not correct since you never use the gain that the preamp has. The stated gain of the pre is with the volume all the way up, but you don't have it all the way up (the preamp is attenuating the signal all the time instead of amplifying it) so the problem is it doesn't attenuate enough and/or the steps are too big (and here is the important part) for your combination of components.

It is normal to blame the pre because that is where the volume control is, but that isn't the correct analysis. You need a source that puts out less voltage, or a pre with more attenuation, or an amp that has less gain, or speakers that are less efficient, or some combination of these.

In line attenuators as suggested is one approach, or find components that go together better.

One of the few things that designers will agree upon is that the closer you operate to maximum volume then the better the sound. Volume controls always take away. The ideal system would have an overall gain (source + preamp + power amp + speaker efficiency) that plays a particular recording at the ideal volume level with the volume control all the way up.

I’m not talking about loud volume, but the maximum that a system will allow. The problem is that the level from recordings varies widely and we want to listen to different types of music at different volumes, so the maximum volume is often too loud.

If you consistently have the volume control way closer to the minimum than the maximum then the volume control is choking some of the life out of your system.

The electronics should be run at the highest possible gain, at a given supply voltage, where feasible.

I don't understand. How would you lower the gain of a preamp without major reconstruction? THD comes from operating an active device in a non-linear manner. The operating point (bias) of the active device determines where you are on the curve and this isn't really related to gain so THD really isn't related to gain except in the sense that it will increase if you allow the signal to become so large it swings into the non-linear portions of the device's curves. It's a bit more complex than that since bias and operating points can affect gain but that's the basics. Maybe I'm missing something here.