The OCD (like most overdrive pedals) is designed not just to add some distortion to your signal, but also to make your signal louder, which will cause the amp to distort more. The Volume knob on your OCD shouldn't affect the tone at all, just the overall output level of the pedal, so you shouldn't worry about setting it low.
From the OCD manual:
You should be able to get unity gain by running the volume knob low, but if you can't, try running the OCD in your HD500x's effects loop, and adjust the return level to get it where you want it.
parkinthepark's post in Ocd O/d In Front Of Hd500x Volume Issue. was marked as the answer