You'll get more sound if you run it from the RCA outputs (LOL). But seriously, if you use an active headphone stage you can run it through the Tape Out jacks as well.
Isn't there a headphone jack on the lower left side of the amp? So, if the plug on your headphones is too small (1/8"), you need to purchase a 1/4" adaptor. If there is no jack on the Onkyo at all, adding a headphone amp is the easiest way to go.
I'm not familiar with that amp, but if there is no headphone jack built in you can purchase a headphone preamp and run it through one of the RCA inputs. THere are many affordable ones on the market.
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