How can I make VLC output its sound through USB headphones?
VLC can't switch audio interfaces on-the-fly. You either have to stop playing media entirely, and go into the preferences and change it, then start playing your media again; or, the slightly easier way:


Kill VLC
Plug in headphones (and ensure they become the primary output sound device, hold option and click the sound icon in your menu bar, select usb headphones if necessary)
Start VLC


Assuming VLCs preferences are still set to use the Default Audio Device for output, then it'll use them when you start playing content again.