In the "Sound" control panel option you can easily switch between the two, so what I did was create a shortcut to Sound, and I connected a unique shortcut to it, so now it's as simple as hitting the shortcut at any time, and then setting whichever device I want as the default.
Now, my headset, the Steelseries Siberia V2 USB came with it's own USB sound card, so I'm not sure if this will work if you just connect a headset to your front audio jacks (maybe leave a comment and inform us about that if you want). So, in Sound, it shows up as a separate device.
Here are the steps:
Go to the Control Panel, and find the Sound icon:
Right-click on that, and click on Create Shortcut - it will appear as if nothing happens, but on your Desktop there will now be a Shortcut to Sound. Go find it...
Once you've found it, right click on that, and click Properties at the bottom, which should open up this screen:
See there in the middle it says Shortcut Key - go there, and simply hit the buttons you want to assign the shortcut to (mine, for example, is Ctrl+Shift+Alt+] ).
Now, whenever I want to switch, I just hit my shortcut, and this will pop up:
As you can see, I have two sets of speakers - the one is my regular on-board sound card (Realtek) and the other one is the USB sound card that came with my headset. Only my headset has a mic, so in the above shot the little phone icon is there because of that (default communications device), and my normal Speakers are set as the Default Device.
If I want to switch to my headset, I simply right-click on the top one, and click on "Set as default device":
Now all sound will come through the headset. If you want to switch back to the normal speakers, simply do the same for the speakers and you'll be good to go!
Did you know the difference between headphones and headset - it's called a "headSET" when the headphones has a mic as well - otherwise it's just headphones :)