I have a Slingbox, so here is what I can tell you.
As mtsguy said....
All the connections work off the back of the set top box at the same time.
you can hook up the slingbox to the Composite (R/W/Y) but if your TV is in 720 or 1080, the picture is cut off on the sides, so you can use the menus or guide from the the Set Top Box. - not reccommended
If you use the Component (R/G/B, R/W) for the Slingbox and HDMI for the TV, both the slingbox and the TV get an HD signal and it works fine. Sometimes I would get an unauthorized HDMI message on my TV. It would not happen very often but if it did, I would unplug the Component from the Set Top Box and it would be fine. Then plug things back in. - it works
If you use Component for both the Slingbox and TV, it also works fine - I ended up going this route for my setup, but option 2 will work fine as well.
Hope this helps