In the current version of the iOS app there is no ability to hear yourself on headphones. This is because at the moment there is too much latency on iOS. Latency is the time that it takes for the sound of your voice or instrument to go into your device, be processed by the Youdio app, and then played back. You would hear this as your voice or instrument being played back to you with a long delay on it, which can be very disorienting when you're trying to sing or play!
The easiest workaround to this problem is one that studio musicians and DJs have been doing for many years - simply pull one side of your headphones back slightly to uncover one ear. That way you'll hear the playback signal in one ear, and your played or sung signal in the other. It's not an ideal solution by any means, but it does work, and it has the benefit of being really easy and doesn't cost anything.
The second, more complex solution, is to use a hardware interface that has a Direct Monitor headphone output. We recommend the Roland Duo Capture EX, the Focusrite iTrack series, or the Alesis iO Dock interfaces for this purpose.
Similarly, many USB mics also have a Direct Monitor headphone output, so if you intend to buy a USB microphone look for this function. The Samson G-Track microphone is an excellent choice for this purpose.
The other option is to use a mixing desk. This is the most complex solution to wire up, but is very flexible. We have tested the Behringer Xenyx X1204USB if you want to go this route and we recommend this for serious musicians who want a more professional solution.