If you're using Virtual Audio Cable, you're going to get a lot of distraction from the echo in your headphones. If you're using Windows Seven (maybe even vista) use the following steps to relay your voice immediately to your headphones AND Stereo output, so all you need to record is your stereo output (unless you want to mix it, then you should record voice and sound effect shit separately).
Right click Volume Icon
Right Click Recording Device, Properties
Select the Listen Tab, select Listen to this Device
Set volume to your liking
works like a charm and is immediate. granted, I'm making the assumption you're using virtual audio cable or some other relay system. I had this exact same problem when I first started recording let's plays and I wanted the audio to come back to my earholes, which is why I suggest this fix. if I'm way off on your set up, then let me know what set up you do have and I can try to help. I'm actually quite good with this kind of stuff.