Dropping the dsound.dll and dsound.ini in the game directory with THIEF.EXE does the trick on real X-Fi hardware. In general, you put those two files (which is what you're really doing by pointing ALchemy to a game directory through its GUI) wherever the game executable is, and Thief has no additional executables in any of the game directories' subfolders. Thus, I'm certain it's not a case of misplaced files.
Just for the hell of it, I tried doing it through a Windows XP VM, and...the cutscenes actually had sound! Unfortunately, I couldn't actually play the game itself because VMware just gave me a black screen during the cutscenes and in the main menu. At least this shows promise for its DirectSound3D implementation when used on XP, but I'd rather not do any crazy dual-booting on my notebook.
In any case, as long as Creative doesn't update their software OpenAL renderer, this isn't going to work out at all. I'll have to find out if Asus fared any better with the Xonar U3, or if they ran into the same pitfalls.
The next game I test might be Descent 3, maybe followed by the first two Soldier of Fortune titles since I know they have hardware-accelerated sound (DS3D for SoF1, OAL for SoF2). I just need to move beyond Thief and UT already.
Executables aren't the only files ALchemy links its library to. There are a few games that can require up to 10 copies of library files on separate folders.
I suggest you to set ALchemy like I pointed out, adding the System subfolder within Thief's folder on the Sub Folder settings path.
Of course Windows XP will have very much the best experience the USB implementation allows since it skips any wrapper needs. Better than that, only hardware X-Fi audio can provide.
Both Soldier of Fortune games run on DS3D, not OpenAL. They work just fine in terms of recognizing hardware audio, but I wasn't particularly impressed with the implementation on the game.
You want to try more games? Try Doom 3, F.E.A.R., Half Life 2, Warcraft 3, World of Warcraft, Dirt 1/2/3, Operation Flashpoint, Command and Conquer Generals/3/Red Alert 3, Bioshock, Prey, Cryostatis, Serious Sam FE/SE, just to name a few.