in xmms go to options, and select a good output source, if you mainly use KDE that would be Artsd (could be you have to install the Arts-Plugin first) then it should work.

also you could select oss (wich usualy works)
if you don't hear sound, it could be some app is useing the /dev/dsp
check that out by entering (in a console as root) fuser /dev/dsp
then kill that PID by typing (suppose pid nr is 1932) kill -9 1932

that should do the trick too.