Audacity > Preferences > Recording > [X] Playthrough (select)
Audacity > Preferences > Devices and make sure it’s pointing to something you can listen to like Built-In Output.
Restart Audacity and make sure Built-In Output is selected in the recording window.
You can’t easily listen to speakers when you’re recording a microphone.
As noted, it works perfectly with Garage Band or Sound Studio on my new iMac. I monitor with a headset so I would be able to monitor voice and music. Audio in System preferences set properly, same for Audacity preferences. Can only hear my voice or music on playback in Audacity. For me, at least, Garage Band is more stable.