Switching between USB headset and Speakers in-game

[Naughtius_Maximus]

Hi, not sure if this is a stupid question or not but I just don't get it. I've tried Gurgle but didn't come up with much.
The thing is this:
I have some analog speakers plugged in to my motherboard (MSI B150a), I also have a pair of Razer Kraken USB and if I want a pair of analog headphones.

For the life of me, I cannot succeed in swtiching sound between any of them without exiting and restarting games. If I alt+tab out of the game and switch, nothing happens. I'm on Windows 10.

Is anybody familiar with this?

[ReBoot]

That depends on the game. Some games can take the changing standard audio output device while mid-game, some can't. There's really no way if your game of choice doesn't support that.

[General Zod]

Sound properties. You can find it in Control Panel > Hardware and Sound

[Naughtius_Maximus]

When I change the sound in device selection, nothing happens if I'm in a game. I did notice some games allow the change without issues but only two I own.

At the moment I'm playing GTA V and if I try to change the device in the game, nothing happens. If I ALT-tab and go to sound properties and change for example from speakers to headphones, the sound keeps on relentlessly playing from the speakers and nothing comes out of the headphones.