It's weird the inside the
Audio MIDI Setup, I get the Master slider grayed out even if not using the Multi-Output device. Please, let me know if any better solution exists (or at least a workaround to my disabled Master slider).
My current solution is using Soundflower as suggested here by Jeremy at the end:
The final issue to resolve is having the ability to change the audio volume like normal. Unfortunately, I didn’t find a way to do this without the help of a 3rd party app, but thankfully, Soundflower seems to do the trick without any extra bloat and appears to be well maintained. It’s hosted on Github and you can find a download link both on Github and it’s Google Code home. Once you install it, you will find two new audio devices are listed in the Audio MIDI Setup app. For my purposes, the two channel device fit my needs, so I went in and set it as the default for both input, output, and system alert sounds (right click on the device and you will see options for each). You don’t have to do all three, but I found it works for my needs, so might for yours too. Once you have done that, launch the Soundflowerbed app from /Applications/Soundflower and then look for a menu bar icon shaped like a flower. Click on it, and then pick your Aggregate Device as shown here:
With that, you should now be all set. Try hitting the volume change keys on your keyboard and confirm everything is working.
I hope this helps, as it helped me!