Split Sound outputs?

Okay, here's my setup: I have a MacBook Pro. I have a Logitech Music Anywhere USB device. I have iTunes with some internet stations "bookmarked" per say.

Now, here's what I want: stream all iTunes sound through the Music Anywhere USB device. Keep everything else on the internal speakers.

Is that possible? Switching the sound in the Sound control panel, starting iTunes and hitting play works. But when I go back to the Sound CP to switch it back, it throws iTunes back onto internal speakers, too.

My one pet peeve with OSX is applications do not have individual sound output options, especially music players (eg: iTunes).