Recording System Audio-Out + Built-in Mic While Using Earphones (Notability or other)
Audio Hijack, from Rogue Amoeba, does a fantastic job with this. Perhaps a bit overkill for your needs, but it allows you to route audio channels to equalizers, to separate or combined files, etc. It's extremely powerful.

Given your use case though, I think Soundflower (which is free) may be just the ticket. Soundflower creates a virtual audio device that allows you to listen to your audio channel and use it as an input at the same time. (For example, you could record and listen to a radio broadcast at the same time).