All that is left to do is to tell Audacity that you want it to play any sound from the turntable out through your soundcard’s speakers. This option is called "Monitor Input." Here’s how to find and enable it:

Next to the round playback control buttons you should see the Input and Output meters. They are each labeled with "L" and "R." Underneath the "L" and "R" labels of the input level meter, you will see a small icon that looks like a microphone. To the right of this icon is a black arrow that points downward. Click this arrow, and select "Monitor Input." The input level meters should now be active, and you should hear sound when you play your turntable.