Can I make certain menus always show ⌥option + click results?
I don't know if there's a way to do exactly that, but if you can't be bothered to use the option key when clicking (maybe you're holding an instrument with the other hand or something?) then a keyboard shortcut to an AppleScript to change audio devices is probably even better.

Here's another question that addresses this approach, and if it's not quite what you're looking for, there are plenty of other people out there talking about this as well.