How to do it depends on your sound card. I have a LynxOne and the
onboard Dell sound card. I record Lynx digital in and send the record
signal monitor to the analog out in the Lynx software. I plug the
analog out of the Lynx into the analog in of my onboard card. I can
then listen to the Lynx played back through the onboard card using the
Windows sound mixer interface. If I am recording analog in I can
still route the analog in signal to the analog out connectors of the
Lynx and monitor via the onboard sound card's input. I don't know
which sound card you use and how to do this in your case, but there
probably is a way. You won't find it in the Audition settings, you
will find it in the record card's settings.

Ok, so you're really doing it through hardware? input - lynx_input - lynx
output - onboard_card_in. My problem (and the reason I have 2 soundcards is
cause my playback device is not record-capable [e.g., has no inputs]).

My recording card is my onboard Realtek AC97. playback card is the Chaintech
AV710 (used in 2-channel high sample rate analog out).