You want, like your local NBC audio on your good speakers?
Yes, the VCR is the way to do it if your TV doesn't include audio output. If it has a headphone jack, that can work as well, but the VCR is a more common way. The MOST common way to do this is using a cable box from your cable company as they will also provide you with digital cable channels and perhaps HD if your TV accepts that.
But, not going that route, use your VCR and hook the red and white audio wires up from it to your receiver. Your DVD player probably doesn't decode cable channels, so you can't use it that way. If it is a DVD recorder, then it likely DOES have a cable tuner built in. The key is, you need something with audio outputs that tunes cable channels.