Step one, you didn't need the USB cable. Since you have a Macbook, you could have made do very well with one of these..http://kozco.com/tech/audacity/pix/MiniStereoToRCA.jpghttp://kozco.com/tech/audacity/pix/MacLine-In.jpg
You may still decide to do that. That simple connection is likely to give you far better sound quality than a USB "cable."
Anyway, with Audacity closed, Apple > System Preferences > Hardware > Sound > Input. Select whatever you plug into the Mac. If you play music, the blue ball sound meter should jump.
Now open Audacity > Preferences > Devices and select the same thing -- or sometimes you can just select Core Audio and let the Mac do the work. Click once in the Audacity red recording meters and they will wake up and meter the sound without you having to go into full record -- although that works, too.
Record your brains out.
Remember that Audacity will not Save a sound file. You have to Export to get a sound file.