You can never hear your own transmissions on range. (If you could, the delay between what you were saying and what you were hearing would be VERY disorienting - trust me!). However, if you press the / key to bring up the radio interface, when you "engage" range transmit by pressing whatever key you mapped it to, the Room/Range heading will highlight.
But if you can tune yourself in the tuned voice channel and hear your own transmission, that is how everyone will hear you on range.
As to seperating the sounds, go to the game's options/Preferences/Game Sounds panel. In the right hand side, change the speakers to the appropriate windows device for speakers, and the headset to the appropriate windows settings for your headset.
Then, on the left side, specify which groups of sounds you want to be played via which device.
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