That's awesome! I've enjoyed your collaborations with Jeff Favagnino.
Back to the point - I've figured it out!!!! I already have a guitar effects pedal (a physical one I use for my guitar.) I plug that into my PC, and using the software you suggested tshuff, I created a virtual audio source.
I then redirect PilotEdge to that audio source. Next, I add the distortion effects quite nicely... this mean I can use my headset INDEPENDENTLY, purely for PE comms, whilst system and X-Plane sounds are played through my speakers - much like being in a real plane, and headset purely for comms - this is AMAZING! I can't believe that Keith had the foresight to include this feature - you smart man

(yes, I'm a professional schmoozer.)
But WAIT - I can ALSO add a line in to my effects pedal, which is clean sounds, so I can use the headset for clean system/X-Plane sounds, and have the distortion on PE comms only. This is amazing.
Perhaps I can schmooze Keith into using his non-productive 12AM - 6AM time to implement a little tickbox for optional distortion... pretty please! (Either way I am happy, but now am surrounded by cables

)
Hope this helps someone - this way I didn't need to spend £25 for Virtual Cable, then £25 for the virtual guitar thingy.
tshuff, you saved me £25 by suggesting that free software that creates a virtual audio source!
Warmest Regards