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.
Solution 3:
I use Audacity for recording new sounds, besides being free, it gives you the option for hardware or software Playthrough.