For Oremo, you set your input (mic) and output (speaker/earphones) by going to Option and Audio I/O Settings.
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The input device should be your mic and the output device should be your speakers, earbuds, etc. Adjust the input gain if you can't hear anything when you playback (Space key). To record, just press the R key on your keyboard. Move on to the next sound on the list by using your arrow keys. Oremo comes with the following if you want to turn them on through the Show menu: Waveform (on by default), Spectrum, Power, F0 (shows your deviation from the target pitch), and a Pitch guide (opens a separate window - adjust the pitch to what's in your range).
For Audacity, you're going to go to Edit and Preferences (or Ctrl + P).
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Host isn't relevant if you aren't using an audio interface such as a UR12 for example. Playback is going to be your speaker, earbuds, etc. Recording is going to be your mic (change it to your mic). Ideally, you'll want your Channels to record as Mono. UTAU doesn't like stereo files too much. You're going to export as WAV with the encoding being 'signed 16 bit PCM.' With Oremo, the correct sound format will already be set.