I would recommend going straight from the gaming system to the astro mixamp. This cuts out the excessive step of getting it through the TV.
It will process the signal the same from either, if you're planning on using it with both your PS3 and 360 (like I do), I recommend going directly from the TV so that you don't have to swap out cables.
I know I'm late here but it all depends on the TV you have as well. I used my A40's this way with a small Vizio 22" and it worked great because it gave me the option of choosing the format of the optical stream, PCM or Dolby. Some TV's don't give you that option and will only give you PCM which makes the audio sound a bit jankier, it works but not true Dolby Surround as you would get from going straight into the device.
In theory, this is the most trouble free way to get whatever sound is coming out of your TV to the headset, especially if you have multiple consoles. In practice, it doesn't necessarily work. Depending on your TV, you may not get anything, as was the case with my LG 47" LED 3D TV. Stick with coming right out of the console, it's foolproof setup.