I assume that closing the audio down and re-opening it would change to the new default device?
In many cases, SDL will quietly move to new default audio devices on your behalf if you’ve opened the default device. If you’ve opened a specific one by name, even if happened to be the system’s default device, it won’t migrate.
This depends on the audio target, though, and some platforms and audio APIs are nicer about this than others (some won’t do it at all, some do it without SDL’s intervention, some SDL handles it internally). What platform are you using?
Also: assuming the platform supports it, SDL will tell you as audio devices come and go, but we don’t have an event to tell you when the default device changes at the moment; currently we prefer to handle that special case transparently for your app, if it’s possible to be handled.
(In cases where it can’t be handled, closing the default device and reopening it should give you the new default device. If anything I said here is proving untrue, it’s possibly an SDL bug and I want to hear about it, though!)