no sound while recording?

How do I get what I am recording through my headphones, while I’m recording? I’ve looked all over this supposively simple easy program to use and can not find it.

It depends what equipment you are using.
If you are using a USB interface, there is often a headphone socket in the interface that allows you to monitor what is being recorded.

If your sound card / audio device does not provide direct monitoring, then the other option is to use “Software Playthrough”. The downside of this is that because the sound is being routed via software, there is a noticeable delay between sound going in and sound coming out. The delay is typically around half a second, which may not be a problem in some cases (such as recording cassettes / vinyl), but can be extremely off-putting in other cases (such as voice recording).

“Software Playthough” may be enabled near the bottom of the “Transport” menu. See: Transport Menu: Transport Options - Audacity Manual