The Scenario is this: 

I have a Bose Mini SoundLink bluetooth speaker and a headset connected to my MacBook. Normally you can only have one device making sound and can switch between them.

Solution:

This is a native utility tool, Audio MIDI Setup, on OS X, that let you take advantage of multiple inputs and outputs.

Audio MIDI Setup is located in /Applications/Utilities/.

1. Click the “+” button at the bottom left corner.
2. Choose “Multi-Output Device”.
3. Check all the output devices you’d like to use in the main panel.
   And you can rename this Multi-Output Device by double click on its name.
4. Now that you have it all setup, the last step is to apply it as output:
   Click on the speaker icon while holding the Option keystroke, and choose your new created device.

To adjust volumes of each individual speaker or headset

– Click the small triangle aside the Multi-Output Device

– Select the speaker you’d like to configure.

– Everything is so obvious now, and you can even adjust the balance of those speakers/headsets.

What a great tool!