What you're wanting to do is possible, not sure its going to work with your exact setup how ever.
This is how i have my setup going: Winamp playing through speakers via optical cable, everything else through headphones via 3.5mm ports.
To do this for your setup you should have both the usb headset and speakers pluged in at the same time and make sure the speakers are the default play back device in windows audio settings, then you want to go into skype settings and manually set what audio device you want it to use.
Skype settings > Audio settings > you want to map all 3 options to your usb headset.
Again, not sure if its possible to do with 2 separate audio devices although i dont see why not.
I use a Creative X-fi sound card with both analog and digital outputs (3.5mm ports and optical) and it seems to work perfectly fine for me