You will always need to do that, to be able to distinguish players from each other from when you play with more than 1 on a console.
Anytime you use a headset on the 360, you must plug it directly into the controller.
Well that sucks, I wish there was some way around it. So there's a port in the headphones themselves to plus into, correct? Just making sure the cable doesn't run to the receiver or something.