You should connect your speakers to the audio output jack on your Catweasel. There is an internal audio connector too but I'm not certain it's stereo, and you'll need to enable the input on your sound card too.
Raziel, sorry.... I never thought to try to feed the SID output back in to the CD audio connector, but that sounds like a good idea if it works. I just have the output going to a separate connection on my Yamaha powered speakers.
The CDIn header in the X1000, like all inputs, are for recording only. There is no path inside the chip for monitoring inputs directly. I understand this is also true for at least SOME versions of ENVY24HT.
Since HDAudio is the new standard designed to replace AC-97, it is likely that this will also be the case with most newer audio chips as they are released.
I saw that your Catweasel OS4/MorphOS driver page is offline.. Can you please do us all a big favour and upload your great work on drivers and Vice(Catweasel SID version) to OS4depot.net?