If you're using the computer's sound card you may be limited to software monitoring, which means the signal has to go through the software before getting back to your ears. That takes enough time to be distracting to most people. If nothing else it's educational to give it a try anyway. You'll need recording software that supports software monitoring.
A good interface will have hardware monitoring. What you play is sent back to your ears without passing through your recording software, so you hear yourself exactly when you play, or near enough.