If you have your speakers set to output your game, and your headphones set to output your skype/teamspeak/whatever, if they are outputting separate stuff, then you have to set OBS to capture the headphones as the desktop audio device, and get the "DirectShow Audio Plugin" from the plugins forums (work in progress sub-forum within), after getting it create an audio source, and then have it set to play "what you hear" or "stereo mix".