No you can indeed use a separate mic and headphone. Microsoft allows you to pic the playback and recording device independently. If you wanted to, you could for example use the mic off a web cam and have sound playback through your speakers.
I recommend this mic if your going to use standard headphones for gaming.
http
/www.amazon.com/Zalman-Zm-Mic1-Sensitivity-Headphone-Microphone/dp/B00029MTMQ/ref=sr_1_1?ie=UTF8&qid=1437974600&sr=8-1&keywords=zalman+clip+on+mc&pebp=1437974587178&perid=14GEBVJNZ6ACDW5D3C7F