Yes! Just connect the audio output to the transmitter using the provided 3.5mm or phono/RCA cables provided. Many TVs, DVD players and Blu-Ray devices have an audio output on the back. This is the best way to connect, but you can also use the headphone output. Check your specific device to make sure it has suitable output audio connections.
Headphones connected in this way can be useful if for example, one member of the family enjoys watching TV at a louder volume or for someone to play an Xbox game without the whole room hearing the sound. They can also be used (with multiple transmitters set up) to enjoy different things in the same room - for example 3 people listening to a film, while someone else listens to the playstation.