3.5-367 is old; try the latest revision from http://dolphin-emu.org/download TP processes sound differently; it uses a different microcode on the DSP (the Zelda microcode). SS uses the Wii version of the AX microcode, and under HLE audio it's recently been improved to work with nearly every game that uses it. Newer revisions should output sound through the Wiimote speakers just fine.
If you insist on using 3.5-367 (which you shouldn't) or 3.5 you can just use LLE audio and that will give you Wiimote sound as well.
If you insist on using 3.5-367 (which you shouldn't) or 3.5 you can just use LLE audio and that will give you Wiimote sound as well.