Will this apply to my sound card if I am using EAX, or is it only onboard sound and and cheaper cards that will use the CPU?
Don't worry! It's only the "Value" line that usually omits the DSP for which the cards are named- the Audigy SE/Audigy 2 SE as well as the X-Fi extreme Audio. the other X-Fi's (including the extremeMusic/ExtremeGamer) include the DSP.
The DSP is the signal processor. When your sound card has it, it handles the various effects. Otherwise, the driver just does it in software (that is, the driver will perform the operations on the sound and so forth using the CPU, and then send that to the card for output).
If your sound card has the DSP, you would have nothing to worry about. However, your current card is a Audigy SE: this doesn't have the Audigy chip (how is that for false advertising?), and the driver will perform, for example, EAX effects through software.
The extremegamer, however, has a X-Fi chip and performs the signal processing using it (EAX and other effects (such as the X-Fi Crystalizer I have become rather fond of) are performed via the sound processing chip on the card. Nowadays the processing demands of DSP processing 7.1 channel high bitrate 3-d sound means that the processor sometimes even needs a heatsink (the true X-Fi's have heatsinks on their DSP; the "fake" (ExtremeAudio, I believe) do not).
Of course this is only Creative. Personally I'm not familiar with the other Sound card Vendors. I would hope they are a bit more forward with the limitations of their value-priced products. an Audigy SE saying it "supports EAX and other effects" is pretty stupid, because in that case it's the CPU that's doing all the supporting, the card is just there to take the credit.