On a Mac (OS X or now macOS), you can change the audio input and output devices by going to System Preferences, then clicking on Sound, and then either the Output or Input tab.
However, there is a faster method that takes just 1 click (and button press). First, you need to make sure that “Show volume in menu bar” is checked under the Sound options in System Preferences. This puts an icon in the menu bar that lets you quickly adjust the volume if you click on it. In addition, if you hold down the option (alt) key and then click on the volume icon, it instead allows you to select the output and input devices.
This shortcut is a much faster method if you need to change the audio output or input device often (or even just occasionally, such as when you plug-in for a presentation).