I'll assume you're running Windows 7. In Control Panel, go to Hardware and Sound -> Manage Audio Devices. Your speakers are probably set as the default (green check). Click on your new device and click "Set Default". I don't really know what Razer Megalodons are, but if they're USB-based, you'll probably also have to install a driver, which would come with it.
I have the same problem, instead of messing with the drivers, I just disable the speakers (by going to the playback devices menu) and all of the sound goes through the headphones. Also, since I'm on a laptop, my laptop mic would take priority over my mic on my turtle beaches as well so I disabled my laptop mic and it worked perfectly.
Hope this helps