I had this problem too, but was able to find a work-around although not a complete solution.
Applications > Sound & Video > PulseAudio Volume Control
While playing an audio clip, Playback tab > right clicked application that is running > Move Stream > checked USB headphones, and sound started coming from the headphones.
Also, Output Devices tab, you can right click the headphones and check Default if you want it to be your default device (which I didn't).
What would be ideal is for the headphones to be the default output device when they are plugged in, but not when they are not. If anyone has further information that would be nice.
I'm using F8-64 bit, Intel audio chipset.