You do not want to use the headphone as that will be analog stereo.
Looking at the specs this projector has an HDMI input.
Audio 2 x 1 Watt
I would by a home theater system (receiver and speakers) based on your budget where the audio receiver has both HDMI inputs and one single HDMI output. Run all of your components (Cable box, HTPC, BluRay, Xbox, etc) into the audio receiver via HDMI, then run one long HDMI cable from the receiver to your projector. Essentially this way the audio receiver will capture the audio (5.1, DTS, etc) and push to the speakers, then it will pass the video along to the projector. You will want to disable the little stereo speakers on the projector in the options or mute them.