That depends on two factors:
- What hardware you are using
- Is it acceptable for there to be a half second delay to what you are hearing.
If a delay is acceptable, then you can use “Software Playthrough” (in “Transport menu > Transport Options”).
If a delay is not acceptable, then you need to use an audio device that supports “zero latency monitoring”.
Most (but not all) USB audio interfaces support zero latency monitoring. Your headphones must be plugged into the USB audio device to take advantage of this.
A few USB microphones provide zero latency monitoring. Again, to take advantage of this your headphones must be plugged into the microphone. If the USB microphone does not have a headphone socket, then zero latency monitoring is not available.
On-board sound cards virtually never support zero latency monitoring.