It sounds (pun intended) as though you want to apply a set of chosen sound effects to whatever sounds are being played by your system.
This is not possible with Audacity. Audacity is a "WAV editor", an editor of sound files. It cannot patch into your audio playback path and modify the sounds being played in real time. Many of its effects take longer than real time to run, so they would not be useful for this purpose anyway.
There are sound cards that have built-in DSP effects processors that are normally "in the path" for sound playback, with control panels that let you choose what effects you want.