The show is basically like a long phone call. Dave calls via Skype from USA with his Windows laptop while Adamy Curry records the joined Skype audio output and his own microphone with Wiretap (free from Ambrosia). Audio HiJack is another utility that allows recording from various sources.
OS X has a very good Audio architecture (called CoreAudio) that makes it possible to route sound between applications and devices and hook in filtering applicaions. Detour is an application that allows to route sound output from various applications separate devices. Another interesting tool for this is JackTools. JackTools is like Detour but unlike that it has a low-fi user interfacce but can route sound from one source to multiple outputs. Soundflower from Cycling’74 offers virtual devices for mixing. All this can work together.
A good resource for Audio on MacOS X is osxaudio.com.
Anyway Adam fiddled around and cam to no satisfactory solution with software only. He is talking about his approach on his audio blog called Daily Source Code. His solution is based on the Digidesign MBOX hardware.