Need help getting mic playback in my headphones so I can hear my self talk.

So I have a pair of closed headphones (audio-technica ATH-A700) and a Zalman Mic for playing online PC games. When on team speak, (steam chat or vent) I can't hear my self talk at a normal volume due to the closed nature of my cans. Is there a way I can hear what my mic is picking up in real time so I don't have to talk to hear my self? I'm sure my neighbors think I'm a crazy person. I'm using a Asus Xonar DG headphone sound card.

I've tried it before in windows settings but never works right (the listen to device function) and there is like a 1/2 second lag.

Any suggestions?