I just realised I should probably give a little more info than that!
I can select it in the input/output devices in both OS X preferences and the Audacity preferences, however when I click play, it says something about the device drivers and sample rate not being right. I don't think its to do with the sample rate as I heard someone else saying they had the same problem, I think its something to do with the drivers, even though they are just core audio.