Better to use a player that handles it rather than go through and adulterate all your files. For mp3, Lame (current ones) do a replay-gain automatically (whether it does it well or not...), and itunes lets you set the RVA manually for mp3 files (a little louder, a little less loud, ...), and the way I prefer is to use a plain old id3 comment with track_gain=+3. The only player I know that handles all these modes is Zircon.
http://zircon.40th.com/
mp3gain would do for players that don't handle external loudness specs, but what it does is to go though each file and alter - what it hopes - the global gain for a frame (1000s of frames per file). If it gets out of sync, the file is trashed. Maybe it can undo it, maybe not, but it still has to do that to every file. Players like Zircon do this as it plays (in memory), not altering the file at all.