Well, I assume you want game sound in your headphones. If you are using Component or Standard, then plug the RCA (red/white) cables into a RCA-stereo adapter. Then plug your headphones into that. If you use HDMI, I hope your TV has a headphone jack.
IF your headphones are surround, you probably want an optical cable for the sound, and then plug that into your processor.
"We demand rigidly defined areas of doubt and uncertainty!"-Vroomfondel(The Hitchhiker's Guide to the Galaxy).