Headphone issues re: Audacity and Skype

I have recorded four times with Audacity via Skype calls. The first three sounded fine but overlapped as I was picking up everyone (I was using a PS3 wireless headset). It was also strictly Audio Chat on my end. The fourth time was a Video Chat and I still picked up everyone. They were not very clear so I had to cut and paste it all together.

This recent time I went to record again (Video Chat) with a Blue Yeti mic and a normal pair of headphones. The headphones would not work with Audacity or Skype. I tried playing other things (Youtube, music, etc.) and I could hear them fine through the headphones. Even switching back to the PS3 headset that I had used before did not work. I tried several pairs. Each pair would pick up Youtube, etc. but would not pick up the Skype call through my headphones but instead went to my external laptop speakers. Is it the Video Chat superseding the headphones and forcing the audio to the laptop speakers?

Please help, this is very frustrating and I don’t want it to happen again