You can do that, but it depends on if you want all of your sounds to go out of a device or just certain sounds to go out of certain devices.
First, you will need to go to Options > Audio and make sure that, 'Integrated components' is set as your audio output type. Routing to particular devices does not work if you have, 'legacy' or 'Windows Media' selected.
If you want to have all your sound files or text-to-speech (TTS) going out to a specific device, set the devices on the Options > Audio > Override default playback device and Override default text-to-speech device. Make sure that your sounds are set up to use the default device (which they probably already are).
If you want an individual sound or TTS to route to a particular device, make sure that the device is selected in the 'play a sound' action or 'say something with text to speech' action.
Hope that helps!