If memory serves me correctly, the TXSR506 only has HDMI pass-through. This means that it does not have the ability to extract the audio from the HDMI. This means 2 things for you. 1) You need to also run audio cables for each HDMI input you have; either digital coax or digital optical. 2) You cannot get Dolby TrueHD with that receiver.
Upgrading to the TXSR606 will get you those capabilities. It can extract HDMI audio and supports Dolby TrueHD through HDMI.
I have a PS3, Xbox 360, and an HD DVR. I also have an Onkyo TS-XR506 AV Receiver and a Samsung LN-46A650A1F. I am currently running the PS3, Xbox 360, and HD DVR video to the TV through HDMI and the audio from the tv to the receiver via optical output. I know I can run all my hdmi components through the receiver via HDMI, then from the receiver to the tv via HDMI. This is the only way to get TrueHD audio but for some reason I am unable to get it right. Can anybody help me? Is this Onkyo model capable of doing this?