How To Include External Microphone Audio In Headphones?
I'm going to end up sounding like a one-man advertising campaign for Rogue Amoeba ;-)
No affiliation, merely a satisfied user, for many years

Unless you want to mess with the highly unreliable Soundflower - originally made by Cycling 74, once maintained by Rogue Amoeba but now open-sourced at GitHub - then the only way to go is something made &amp; still supported by Rogue Amoeba.  

Audio Hijack, LoopBack &amp; SoundSource are all based on the same [reliable] technology, but tweaked for different sets of user requirements.
SoundSource is the latest - &amp; cheapest - of their offerings.

If it does all that you need, then it's the one to go for.