On board audio is fine and with ASio4all, you can get pretty good latency. I can play my keyboard set up from my laptop using on board sound at 64 samples no problem. I’ve used this method for live gigs on quite a few occasions and never had any issues from a sound quality point of view. I made up some decent cables that connect to a mini jack on my laptop , straight into a pair of the P.A. system D.I. boxes and you’re good to go live.
If you’re just recording/studio/on a bus/plane then headphones are fine.
MC