Yep, connect video directly to the TV to get the best picture (and in the case of the Oppo, it's apparenly the only choice). I would recommend getting two HDMI cables, and use an HDMI to DVI adapter for the cable box. Then, when you no longer use DVI, you can toss the adapter in the drawer and still have a viable HDMI-HDMI cable. Those parts are available from monoprice, among others on the web. I just saw a 6' HDMI cable at Radio Shack for $50 -- way, way too much; don't fall for that business at your local shop, including Best Buy, Circuit City, et al.
If your Onkyo is doing pass through and you want to switch through it, grab one more cable.
Audio connections go from the cable box and the Oppo to the Onkyo using a digital connection -- either coax or optical (both will be a single cable, not the red/white pairs).
That should pretty much do it.
Good luck.