How can I get the mic sound feedback in my headphone?

Solution 1:

LineIn from Rogue Amoeba lets you route any sound input to any output. Freeware.

Solution 2:

You can use GarageBand as well (see this answer) simply create a new project with voice and set monitor to on. You don't need to record to hear your voice. enter image description here

Solution 3:

I use Audacity for recording new sounds, besides being free, it gives you the option for hardware or software Playthrough.

Preferences window showing Playthrough settings