I've done it.
Here is what I have:
My windows default audio device is my x-fi which I use for music, videos etc.
But for other apps I use onboard. For example I have musickube setup so that it uses onboard, the only thing hooked up to the onboard outputs are my headphones. So my headphones are always plugged in and i use them when I want to listen to music privately (with musickube) for everything else I use my speakers. I've even had different stuff playing on my headphones and speakers at the same time.
It works for me this way. Most programs including media players have settings to either use the windows default OR something else.
So all that is needed is more than one audio device in other words (onboard + sound card).