Quick guide is basically this:
1. Download Soundflower:
https://rogueamoeba.com/freebies/soundflower/ and install it.
2. Open it (it's up on the system tray) and set whatever audio output you want to use (speakers, headphones, etc.) to go to "Soundflower (2ch)".
3. Go to System Preferences -> Sound -> Output and change this to "Soundflower (2ch)" as well.
4. In OBS, go to Audio and put "Soundflower (2ch)" as your Desktop Audio source Everything will start routing itself properly and you'll be able to hear the audio.
If you're using a program like Skype, make sure to do the same in Skype preferences as well, or else your viewers will just hear you speaking to no one.