I was wondering if I could connect multiple audio devices for playback in Audacity. Like if i need to playback from my speakers as well as my headphones then would that be possible?
Probably not. Audacity comfortably manages one sound device.
If you connect the sound to an amplifier or distribution system like I did, then you can play to whatever you want. I haven’t actually adjusted the computer sound in months. It’s all external.
Look in the Windows Control Panel for the control panel for your sound card. There may be a diagram of the available outputs that specifies what the headphone port is supposed to do. You may be able to switch it to from “Headphone” to “Front Speaker Out” or similar. Then the headphones plugged into the headphone port and the built in speakers should both play sound.