I also have a similar set up, but I have the Senn HD595 headphones. The Entech 203.2 sounds great. You won't be disappointed.
You'll need an optical cable to connect the AV-710 to the Entech 203.2. A good place to get them is Blue Jean Cables (the one in the middle of
this page. They have high quality cables with great prices.
Your headphones wouldn't be able to connect directly to the 203.2. Somewhere between them you'll need an amp (I currently use a receiver). Between the 203.2 and the amp you'll need a RCA-to-mini cable (or RCA-to-RCA, depending on the amp). You can email Blue Jean Cables and ask them about it (it's not listed on their website).