The easiest way is to use Voicemeeter, install it and set the VB-Audio Voiceemeter VAIO as your default playback device.
Start Voicemeeter and select your USB Headset as A1 in the top left, for A2 you should be able to select a HDMI Audio device (the one that is connected to your capture card). Then in the Virtual Input section, activate A to send your desktop/game sound to your headset and capture card.
You can also send your Microphone input over the HDMI Audio device. Go to your Windows audio recording settings and open the properties of your Microphone. In the listen to Tab you can activate "Listen to this device" and select your HDMI Audio device in the dropdown menu.
http://vb-audio.pagesperso-orange.fr/Voicemeeter/