I was also hoping to find a way to do this, I'm really disappointing that it seems impossible in Mac OS X.
Even worse I've just been playing a game in Windows 7 in Bootcamp on my early 2011 iMac and was able to plug a headset into the mic and headphone sockets and use the headset for vent chat AND use the speakers for game sound so its not hardware (at least on the latest iMac).
I reboot to OSX and I cant even flick between the two outputs without unplugging 🙁
Now if only i could get my bluetooth headset to work in Windows as easily as in OSX I could have one setup for both and it wouldn't matter!