Um, what? If you're plugging straight into the back of a card, there should be ~0 difference in performance. A headphone load vs another isnt going to have radically different impacts on your CPU.
1. Update soundcard drivers (also, post your souncard)
2. Try again
3. If that doesn't fix it, swap to software sound via the game menu
4. If that doesn't work, tamper with some recording settings inside the game
5. If that doesn't work, I'd be happy to conclude it is a major problem with the game; either a conflict with your hardware, or just plain bad coding.
Also, are you sure you are witnessing a slow-down, rather than a latency issue?