Trading Vol in an IB - what are the good resources for Rates, Credit, FX, Equities? Market-makers' help greatly appreciated

Rates vol: All the general vol books you mentioned are quite good (esp dynamic hedging). More specifically, I'd try to pick out the relevant chapters of Brigo and Mercurio's book (it's a heavy read, so it will take some time). Don't skip the short-rate models (HW, etc). Also, Hagan's initial SABR paper is great - SABR (or various morphed prop versions of the initial model) are still quite popular on the street, I hear.

Overall, there's not a lot of difference b/w say FX/Equity vol and rates vol in terms of managing risk, apart from the added complications of the underlying becoming non-linear (in a swaption for instance) and added dimensional . Once you understand general vol trading ideas (like the greeks), thinking about how things change if you replace the underlying equity index with a swap would be useful (ie - how does duration effect the greeks, how does PCP change with a non-linear underlying, etc).

Another things I would bear in mind if actually joining a rates vol desk is getting used to the jargon. Thinking of puts and calls as payers and receivers, for instance, adds a couple of extra seconds to your reasoning and just slows you down initially.