For connecting audio devices, simply plug in the appropriate audio port for cable connection audio devices. For wireless devices, check if your system supports the audio device's wireless connection, and use the wireless bluetooth pairing to connect them.

Please be sure to review the game's audio settings to toggle which audio device to use. You can also adjust the "Master" volume in that menu, as well as make separate adjustments for "Ambient", "Effects", "Music", and "Voice" volume.