when you record vocals and you can hear yourself recording through the headphones, there is a delay. If you get a headphone amp and record, will there be no delay?
You need a device which will mix the Audacity backing track playback with your live voice. The three hardware Overdubbing solutions we reviewed all do that. Note that in all cases, the headphones are connected to the device, not the computer.
http://wiki.audacityteam.org/wiki/File:PeaveyUCA202Lenovo.jpg
http://manual.audacityteam.org/o/man/tutorial_recording_multi_track_overdubs.html
Koz