LiquidAurum :
Do they like come with their own integrated sound card? And do their own processing? I was wondering because I no longer want to put that extra load on my CPU while gaming. So do ALL USB headsets do that?
Simple answer is yes. All USB headsets have their own sound card.
You would not benefit in the way you are hoping to reduce CPU load. Your motherboard's audio interface is connected to a chipset (i.e. Realtek chipset) that does the same job a USB headset with built-in sound card.
Some people prefer to add PCI audio cards, but that's more for special purposes and/or improved quality particularly for audio enthusiasts.