Set your Discord Audio to your Main Output
Install VB Audio Cables, Then Set your Desktop Sound to VB Input. (It will be have a different name.)
Go to VB Output (It will have a different name), then set listen to this device, and set it to your headphones, the same device that your Discord is outputting to.
Add Discord as an Audio Source on OBS and you'll be set to record your Audio, this allows you to mute Discord for if you want to record on OBS while in calls.