Trying to set up seperate audio channels

I have a nice 5.1 surround system for movies, and a set of headphones I like to use for games. Now here's the problem. I want to run game audio through the on board audio chip on my keyboard to cut down on wire clutter, and I want to keep the movie audio running through the speakers on the audio card. The problem is that I can't seem to consistently separate the audio channels. Is there any way to set up a program list in Windows Vista for which programs will use which audio device automatically or do I just have to keep doing it manually and not quite successfully by juggling the default audio device setting in my sounds and such and starting movies and games and such in the proper sequence to take advantage of it?