IF YOU WANT THE AUDIO TO PLAY WHILE RECORDING:
Click Microphone - Disable Mic and it'll play all the way through.
Thanks to @Jake Sirianni who solved it!
BE AWARE THAT IF YOU DO SO YOU WON'T HE...
Action Effect for Photos...
This tutorial version was created a long time ago, some things have changed and are no longer working.
However, I have provided a new version for it.
You can download it here.