Sending multiple audio streams to different places simultaneously
You can send one or more audio inputs to one or more outputs by creating a new aggregate device in the Audio Midi Setup app in your Utilities folder. This Apple Support document explains the steps.

Other options include Soundflower, the open source virtual audio output device which was maintained by Rogue Amoeba for a while, or Loopback, which is Rogue Amoeba's current (non-free) solution.