If you have front-panel audio connectors you might be able to get those working with the Audigy 4, but you will likely have to fab your own cable. Here is a blog post showing how to do it for the Audigy 2ZS, and I have seen posts that say it is identical for the 4.
http://audigy2zshowto.blogspot.com/
However, this poster never got the speaker mute pins connected correctly, so you will have to do some additional searching to figure that out.
I had the same problem, and don't have a front panel, so I bought a used Audigy 4 Pro with the breakout box. It's a little big and ugly, but very convenient. Sits on the desktop and has inputs for optical, 1394, mic, line-in, and also volume control w/mute. Plugging in the headphones mutes the speakers. Works pretty well.