Not sure if I'm doing something wrong. When I plug my guitar into a soundboard, and then plug a line going from the soundboard to my mac, when I put on headphones via the mac headphone jack, I get a delayed response. I'll strum my guitar and 1/2 second later I'll hear it through the headphones. Any ideas?

Yep, it's called Latency and isn't uncommon. In fact, everyone has a degree of latency. The smaller latency figures are usually related to the Sound/Audio card drivers and the operating system.

Rimmer

Check for the buffer of your card and/or app that you're using. Set it low or the lower possible whithout clipping, the smaller the buffer, the smaller the latency, but the app and the processor command the minimal size.

Have a try

a few apps offer a low-latency monitoring options as well such as ProTools and I think Logic as well... when this option is on... it turns all real time effects, sends and not needed options off to allow computer to process audio quicker so I would look for this option as well in your recording app.

also, by "soundboard" i presume you mean "mixer" or "desk".
the usual scenario here is to route the output of the mac into the mixer and plug your headphones into the mixer!
did i miss something?