There are some HDMI DACs out there that will pull two channel from the HDMI signal for headphone output, but these are expensive and unnecessary for your situation.
If your receiver has a headphone out, use that, otherwise I would buy a headphone amplifier (even an inexpensive one, look at the FiiO E9 on Amazon) and attach it to a loop or line level output on your receiver.
If your receiver does not have a loop output or line level output, then things might get more difficult, and your best bet at that point is to use optical or coax digital out into a DAC with a headphone output.
If you game often, then something like the Astro Mixamp connected via coax or optical from your receiver would be your best bet. The MixAmp has Dolby surround via Dolby Headphone, which works really well for surround gaming using headphones.
Also, do not bother with the so-called 5.1 or 7.1 headsets; those are a gimmick.