If you don't hear any sound when recording, your sound card likely doesn't support audio monitoring. In this case, the only way to monitor the audio signal during the recording itself is to first split the signal before it is sent through the sound card and saved to your hard drive.

The "Simultaneous Play & Record" feature is designed to allow you to record while the tracks in your project are playing. It does NOT provide monitoring of the recorded audio signal. 
The "Preview Meter" allows you to preview audio files in the Media Explorer; it provides no monitoring capabilities.

If your sound card supports monitoring, you can use the built-in monitoring feature in VEGAS or ACID.

1. To do this, right-click the track header.
2. Select "Set Default Track Properties" and enable "Input monitor".
3. Next, click "OK". 

Note: Some sound card models (such as Soundblaster) automatically relay incoming audio to the sound card driver for playback.