How to add desktop audio to OBS on macOS
Adding desktop audio on macOS to OBS is not easy, but in this post, I will give you a step-by-step procedure so that you can do it with ease.
Step 1: Download BlackHole
The website for blackhole is: https://existential.audio/blackhole/. After the registration, you will get an email with a link. After opening that link, you will find the following content:

I would recommend to download the 2ch version, because it is simpler. If you want to understand what is the difference between 2ch, 16ch and 64ch, please check this link.
The installation is straightforward, so I won't spend time on that.
Step 2. Set up the Multi-output device using Audio MIDI Setup
Open the "Audio MIDI Setup" app in your macOS, you can type MIDI
in the spotlight or alfred (I highly recommend this app, it can supercharge your productivity on Mac). Then you will see this window:

Click the "+" symbol in the left bottom, and select the "Create Multi-Output device". Then the window will become this:

In here, the "Multi-Output Device" is my current setting. I choose two outputs: (1) BlackHole 2ch and (2) your headphone (for my case it is my AirPods Pro). Now you have set the audio output.
Step 3: Set the audio output in Sound
Open the sound icon in here:

and choose "Multi-Output Device", which was created in the previous step. You can still control the volume of your voice in Audio MIDI Setup.
Step 4: Set in OBS
Open your OBS, click OBS -> preference -> Audio, and you will have this window:

The Mic/Auxilliary Audio is your "Multi-Output Devices", which can capture your desktop audio. And Mic/Auxilliary Audio 2 can capture your own voice via the microphone.
Now you can enjoy using OBS to stream!