Set audio output source per application I want to do something simple I want my music to play on my headphones and and the rest of the sounds just on my MacBook speakers. 

Is it possible to set different outputs for audio?
I believe this would require an external soundcard. The MacBook's soundcard is built to output one channel of sound, not two. You can purchase audio interfaces with multiple outputs for relatively cheap from any audio retailer, both online and in-store.