VLC Sound Output - how to adjust

I recently bought an ACD which I hook up to my MacBook. I watch videos and movies on it late at night so instead of playing it through the speakers I prefer to play it through headphones so I don't keep everyone up.

This works great with iTunes. I plug them into my MacBook and off I go. For VLC, however, it STILL plays the audio through the speakers even though my headphones are plugged in.

How do I change it so the audio plays through the headphones when plugged in using VLC instead of the speakers. (Jeez, you'd think this would be basic functionality. >_>)