Hear vinyl while recording

I am a non-tech person running a Mac with Big Sur 11.2.3 and Audacity 3.0.0.
I only wish to listen to my vinyl collection playing on my Audio-Technica digital turntable.
When connected up with a record playing Audacity shows the audio output wave on both channels, but I cannot hear anything through the internal speaker, [nor through headphones]!
I guess I am doing something simple wrong.
Appreciate any help please.

How is your turntable connected to the computer?
What sort (make and model) is the turntable?

Where are your headphones plugged in?

Transport (menu) > Transport Options > Software Playthrough.
– Bill