iShowU Audio Capture is an OS X extension that allows applications to move/pass audio to other applications.
Once iShowU is installed, you need to change settings in the preferences of both Audacity and the Mac system as follows:
Audacity:
Open Audacity, go into Preferences>Devices
Audio I/O:
Host: Core Audio
Playback: iShowU Audio Capture
Recording: iShowU Audio Capture, Channels: 2(stereo)
Host: Core Audio
Playback: iShowU Audio Capture
Recording: iShowU Audio Capture, Channels: 2(stereo)
MAC:
Apple System Preferences > Sound
Set Input: iShowU Audio Capture; Output: iShowU Audio Capture
Start playing something (try a Youtube, for example), hit record in Audacity.
When finished recording, go back into Apple System Preferences > Sound and Audacity Preferences > Audio I/O to reverse settings.