Chaining Roland Boutique audio

I'm hoping to move away from my computer a get a few Roland Boutiques. Likely the SH01, TR08 & JD08, all of which would be connected to each other via 5-pin midi to a controller keyboard.

I'm left wondering what to do about audio. I don't really want to bring a mixer into play as I'd like to keep things as minimal as possible. Am I right in thinking I could chain the audio from the audio out ports to the mix in ports and use headphones to hear sound from all 3 at the same time?