What are you looking to do? Gaming, any sort of audio/video editing that needs higher quality sound capabilities?
For gaming, you should be fine with the built in audio.
If you are looking for something professional grade though to really take advantage of a quality pair of headphones, then I would suggest a better card than the Xonar DSX. Sure its better than the integrated audio, but not by much. Would instead get the Sound Blaster Z or ZX sound cards. They do cost more, but they are pro grade audio and have additional features like powered amp plugs for higher end headphones that need the extra juice, and additional shielding from things like the other components in your PC.
It all depends on your needs and budget.