I had a similar situation awhile back when I had to connect my Hifi VCR (only 1 set of audio outputs) to both my Sony TV and my Pro-Logic receiver at the same time. My wife didn't want to mess with firing up my whole system just to watch her time-shifted TV shows when I wasn't around.
I ended up using "Y" adapters like Isellstuff suggests above to obtain the most direct link from the Hifi VCR to my receiver. This worked very well. The only nitpick with this configuration is you have to remember to turn the TV volume all the way down when listening through your stereo so it's sound won't interfere with your main speakers.
That said, I see no problem with trying to "daisychain" the audio through your Sony TV. Considering the modest quality of the source signal in this case, (non-HDTV satellite box or cablebox), the analog audio signal can be quite compressed relative to the HiFi VHS format or DVD. You may not notice much degradation in sound passing it through your TV's audio In/Out. In my current system, (Samsung SIR-T160 DirectTV HDTV receiver), I notice that audio even on the premium channels (HBO-HD, for example) and the digital music channels over the dish sound at best like a mediocre MP3. "CD quality" it ain't. Same goes for "digital" cable. I believe this is mostly due to the compression of the audio signal at the source.
My receiver lacks digital inputs so I cannot take advantage of the digital output from the box as UncleJeff suggests, which would be a big improvement on digital TV and HDTV broadcasts because they use the Dolby Digital format. You still won't get the improvement on NTSC broadcasts, though.
