You can do this by using a virtual mixing console like
voicemeeter (it is donationware) in combination with the donationware vb-cable (also found on the voicemeeter website - just look into the sitemap). You configure your audio devices in such a way that the audio from your headset and the audio from your game get into the inputs of voicemeeter, which is mixing them, and you configure OBS to record the output device of voicemeeter as desktop audio device. You record your microphone in OBs directly with the mic audio source.
It's a bit difficult to configure all in such a way that you create no feedback loop and are still able to hear your original sound from your speakers and your headset, but it's possible.