Fred,
I used to have an older Onkyo model (the 828) which was similar to the 919 in that it utilized an outboard surround sound decoder as well. I can probably offer some general guidelines, but before I get to that....
I know this doesn't really answer your question, but if the 919 is at all like my old 828 (in that it does not natively decode digital 5.1, doesn't have component video connections - let alone HDMI) I REALLY think you ought to consider getting a new receiver ESPECIALLY if you're considering Blu-Ray. You can get full-featured receivers for a few hundred dollars that will actually simplify your connectivity and allow you to fully realize both the audio and video improvement of Blu-Ray over DVD. You have a nice TV, you should maximize it's capabilities - right now the receiver is more of a bottleneck than benefit, IMO.
OK, with that out of the way, here are some thoughts on hooking things up...
I'm assuming you're only concerned about the audio connections, and that you have all the video connections working correctly - is that the case?
For the audio connections:
Any sources that output digital surround sound (Cable/Satellite/DVD, etc.) will need to have their digital audio signal sent directly into the Sony Digital Surround Processor. I'm not sure how many inputs it will have - it may be as few as two, so you will be limited in how many devices you can hook up this way.
The Sony DSP will be connected to the Onkyo - possibly by a computer-style printer cable (that's how my outboard decoder connected to the 828). The audio stream that is fed to the Onkyo is preset to a specific video input (check your manual to see which one that is). You will have to set the receiver to this input in order to hear the surround sound stream.
In addition, if your DSP has only one output, you'll need to switch sources on the DSP if you have more than one source connected to it.
If you have more sources than inputs on the DSP unit, the remaining sources will have to have their analog red/white RCA plugs connected to inputs on the back of the receiver. Make sure you don't use the connections that are associated with the DSP audio connection (again - check your manual to find out which input is associated with the digital surround connection).
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I hope that helps and isn't just more confusing. If you can post pictures of the back of the TV, receiver, and DSP, that would be a tremendous help and may refute some of the assumptions I've made...
Good luck.