I downloaded Audacity after failing to find a decent way to level the volume of my many music files. However, on downloading I find no instruction on how to set it up properly. I imported a batch of files expecting to then be asked to let the system analyse them and then be able to set volume level and avoid clipping, but no such luck.
So what I have is some files that I have no idea what level they are set at and suffer from clipping.
What should I have done and what do people recommend as the best db setting? 
What format are the files? MP4, 16-bit WAV?
You can show clipping in multiple Audacity tracks using View > Show Clipping….
If the files are clipped, Audacity cannot correct that unless the files are 32-bit float WAV or AIFF, which is unlikely. You may be able to fix minor clipping in an MP3 too. Clipping in such cases can be fixed when using Effect > Normalize… to perform volume adjustment.
If other types of files are mildly clipped you can try Effect > Clip Fix… before making a final volume adjustment on them.
For some more convenience, rather than import files into Audacity manually, you can add Normalize to a Chain then apply that Chain to a folder of files that you want to process. But you would want to be sure those files were not clipped, because as above, Normalize won’t fix clipping distortion for most files.
Also note that Normalize only adjusts the highest peak in the track to be at the volume you request. It does not make tracks sound “equally loud”.
If you want equal loudness, try this Nyquist plugin ReplayGain plug-in that uses a similar algorithm to ReplayGain. Make sure you get the “New Version” in that post. See here for how to install Nyquist plugins: Missing features - Audacity Support.
If the files are not clipped, you could similarly add that replaygain plugin to a Chain and apply the Chain to a folder of files.
Gale
Thanks Gale, that’s a great help
Have run the normalise effect, but this has raised a couple more questions, I’m afraid.
What is seen as the best level at which to normalize?
Once I have run the effect, how to I return the files to my iTunes library without having loads of duplicate files? Ideally, I would like the new Audacity files to overwrite the originals.
Only you can answer that. 
The default -1 dB is good, but it could be too high for some players or speakers to completely avoid distortion.
Also you still have not said what format the files are in. If they are MP3, Audacity does not compensate when exporting for the changes that the lossy MP3 encoding may make to the outcome volume. So if you choose -1 dB in Normalize, the exported MP3 “could” end up with a peak very close to 0 dB, which could be too high for some players.
Note: If these are MP3 or MP4, you should know that you are losing quality by re-encoding the files to make volume adjustments. You should consider direct MP3/MP4 editors which can make volume adjustments losslessly (in 1.5 dB steps for MP3). See Missing features - Audacity Support.
You can overwrite the originals, but not using Chains.
Probably the best way is to import the files about ten at a time. Check each one with View > Show Clipping on, Clip Fix them if necessary, Normalize them, then Export Multiple based on tracks. Export Multiple overwrites files by default - just make sure you are exporting to the same path the files come from.
Gale
Thanks again. They are a mixture of files, mainly M4A, but some mp3 and WAV files