Let’s create this in software. A device, that receives an audio input and passes the signal on to a number of outputs.
In Spotlight (press cmd ⌘+space) search for Audio MIDI Setup and open it. If the Audio Devices window doesn’t appear right away, go to the menu and click Window > Show Audio Devices.
At the bottom left, you’ll see a + symbol. Click it and select Create Multi-Output Device.
Select all devices you’d like to send the audio to. Then, at the top, choose a Master Device. This should be a hardware device like your built-in output or a USB audio interface. Using a virtual audio device as the master is not recommended. Next, tick Drift Correction for all other devices that you included, sparing the Master Device.
And that’s it. Before using the device, make sure that the sample rate is the same for all the individual devices you included.
You should now be able to select the new device as output in whatever app you want to play audio from. For instance, set it as the output device in Skype and use it to route the audio to your headphones and a DAW, that uses the multi-output device as its input.
Note: you can’t adjust the volume of this device and your hardware volume buttons won’t work. You’ll have to use the individual device’s settings in Audio MIDI Setup for volume control.