I had the exact same problem you describe.
Similar of what DaveRook already said, you should be sure windows is outputing audio to the headphones as default. In windwos 8 (I don't know if in win 7 is the same), right click the speaker icon in the tray icon area (next to the clock), and select "playback devices" [note: I am not sure of the exact text it should say because my OS is in Spanish.], then, in the dialog, select the headphones you want to use, right click, and choose "set as default communication device".
then you just have to change the setting in Skype to use the default audio output instead of the speakers. Go to skype options, audio settings, audio output, and choose the same device name you choose in the past step. You can try it out within that options dialog with the little green "play" icon to see if skype will now use the headphones as you want.
If it doesn't work at first, Try all the audio devices listed, since the names are not very intuitive, and be sure to set them both the same as default, in windows audio settings, as well as in skype settings. that should work.