Coder's method will work on Ubuntu 10 LTS, but it will not work on Ubuntu 12 LTS, because they take out the option for switching from Duplex.
To get the sound going in Ubuntu 12.04 LTS, you need to first install "pavucontrol"
You can do so by typing the following in the terminal:
sudo apt-get install pavucontrol
After you have installed pavucontrol you can run it by typing the following in the terminal:
Go to the configuration tab, select Analog Stereo Output
And you should be good to go.
+++ BREAKING NEWS +++ :-)
It works. After changing to analog stereo output via pauvcontrol I disabled the sound card in the vm-settings and re-added it. Now it is "connected" and works.
But: After every restart of the guest the sound card is disconnected, I have to connect it manually.
Any ideas how to automatically connect it?