Audio Devices

I have a USB headset that I leave plugged in 24x7. I use it for a VoIP
application that I run pretty frequently. I also have a standard pair of
speakers/subwoofer. Both devices have the appropriate drivers installed and
are functional.

My question is this. Aside from application settings, is there any way to
control which audio device a program will use? Say I'm running some third
party software for playing MP3s. I have my headset on and decide that I
want to take it off and shift my audio output for *one* particular
application to my speakers instead. Assuming this application doesn't have
an internal setting for device output, is there a way to quickly shift the
audio to my speakers?

Thanks!