This is a pretty good concise tutorial for how to record internal audio on your Mac, while listening to the sound at the same time. It uses Sunflower and QuickTime, which records the audio as a lossless ALAC .m4a file. https://www.youtube.com/watch?v=gHzq6hdH3ok
Once you've set up the multi-audio output, you can't adjust the volume using the keyboard volume buttons, but a workaround is to temporarily change the output back to the internal speakers (or headphones), adjust the volume, and then switch the output back to multi-audio output.
