The easiest way is to set up Skype to not use your default sound output, but to go via your headset at all times. Sure, you'll get all the "ding! new message!" to your headset as well, but you won't have the problem of losing sound in the game =)
(I /think/ it also works by setting your headset as "default communication device" and tv/hdm/other speakers as the "default device", but I'm not sure.)