Sometimes I get this problem

Depending on how I record sound later in post I have to crank up the levels of the audio. Most times this happens with the shtogun mainly because I record alone and the shotgun is usually mount on camera with the subject some distance away. You may hear it right on the headphones, but you also need to monitor the sound meters constantly. Like dagunner metioned is a good idea to have them 3 ticks from the red mark. Even with cranking up the audio in post it still sounds clear and without too much noise.