If it's not specifically branded as a PS3 headset, then you need to manually go into the audio options everytime and change the location of the sound/audio from speakers to headset.
I have had that problem before, go to your ps3 dashboard. Under console settings go to sound and set it to multiple out put. This will send it out he HDMI/Component and the optical which more than likely is what your headset is hooked up to.
My previous answer implies that you are using a standard bluetooth headset like you would use for your cell phone. I've used my cel phone headset on the ps3 before and you definately have to change the sound settings manually when doing this.