Depending on the audio device, you may have several routing options. For instance, the device may have inputs as well as outputs. You can choose these in the same volume menu item as before. Just press the Option key when you click it, to see the extra options. If you prefer, you can also find all of these choices in the System Preferences Sound tab.
You can also get quite a bit more advanced. Inside your Mac’s Applications>Utilitiesfolder, you’ll find an app called Audio MIDI Setup. This does what it says it does, and lets you configure some more advanced options. For instance, your device might allow you to choose different sample rates for audio conversion. The available options depend on the device you have, but it’s worth taking a look around to see what you can do.