Interesting tidbit about Mac Os X's audio setup: it is possible to have one audio mapping setup for one user (input and output setting in the System Preferences) and a completely other one for another user and have them active at the same time.
User 1 logs in.
Plays song A in iTunes.
Output is set to USB audio device A.
Switch to User 2 (With Fast User Switching).
Set the system output to 'Headphones'.
Play Song B with iTunes.
Now Song A plays through the USB device, Song B plays through the headphones.