Yes exactly that!.....so I can hear nuances and everything which I can't hear with my headphones on (they are just small sponge covered ones) even with the sound turned down.
I did once do some recording for someone over his backing track and I could hear myself playing aswell as the backing, but he had a fancy piece of expensive kit.....
To do this effectively you really need to be using a DAW they used to call them sequencers back in the day but DAWs are Digital audio workstations which include all the biggies like Cubase ,Logic and Garageband. For most people the interface is what decides what they chose to use mainly down to being in a familiar setting and also for others it may be simplicity they require.
The thing about DAWS is that the waveform is actually affected in realtime in a non destructive manner that means that until you actually " Render/Mixdown" your mix the waveforms are actually not altered at all but you hear them altered by use of a specialised Chip called a DSP. The problem of " monitoring" in realtime can bring the dreaded latency in to play which is manifested by hearing yourself a fraction behind what you are playing which is useless. On windows machines. That used to mean no
real time monitoring without good gear and an ASIO driver for your soundcard but in the last few years a really clever guy invented a freebie driver called
ASIO4all which has meant that people with crap onboard and older gear can actually monitor in realtime as long as the DAW they are using supports monitoring and ASIO which it should do. I still use a 9 year old cheap laptop with cubaseSX with absolutely no latency thanks to this program.. On a good DAW. this gives you access to 1000`s of Plugin freebie fx which vary from reverbs to Autotune LOL you can twiddle the knobs as you play and hear it as you go or do it in the mix down.
My experience of MAC os is very unorthodox. I run a duelboot system with Snowleopard running on the same hardware as windows. this setup is called a
hackintosh and enables me to run all the MAC software native but means I have to use a hacked Driver for my Maudiophile soundcard. I have used Garageband and Logic successfully though with Zero Latency as there are controls on these pieces to enable you to alter the settings to achieve la result.
RE Audacity. This software is great it`s free and is easy to use but It is not really a DAW ( Yet) There are many limitations but they are slowly being overcome. I don`t use it as I don`t have to but hopefully there will be expert users here that can give you a rundown of all the features and shortfalls of this piece of software and how you can st up realtime monitoring.
Sorry for the geeky post but believe me It could have been even geekier LOL