Select your audio track and make sure it is enabled for recording (the little record button directly below the track name needs to be red). Then open the Track Info panel. Near the bottom right you will see the Monitor option. Set this to ON and you will immediately be able to hear yourself sing or play into the mic without having to record anything.
Of course, you'll want to double check that you've correctly enabled your system for sound output. Inside GB, go to Preferences --> Audio/MIDI --> Output and make sure the right choice is selected.
One final warning: if your mic gets too close to your speakers you will get nasty feedback. You can prevent this by choosing Monitor ON with Feedback Protection (only available in GB '09 & '11), which will shut off the sound output if feedback gets too loud. Or you could avoid this problem entirely by using headphones. 😁